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Time Series Analysis by State Space MethodsSecond Edition$
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James Durbin and Siem Jan Koopman

Print publication date: 2012

Print ISBN-13: 9780199641178

Published to Oxford Scholarship Online: December 2013

DOI: 10.1093/acprof:oso/9780199641178.001.0001

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Further computational aspects

Further computational aspects

(p.147) 6 Further computational aspects
Time Series Analysis by State Space Methods

J. Durbin

S.J. Koopman

Oxford University Press

This chapter continues the discussion of the computational aspects of filtering and smoothing. It explains the estimation of a regression component of the model and intervention components; the square root filter and smoother which may be used when the Kalman filter and smoother show signs of numerical instability; how multivariate time series can be treated as univariate series by bringing elements of the observational vectors into the system one at a time, with computational savings relative to the multivariate treatment in some cases; and further modifications where the observation vector is high-dimensional. The chapter concludes by discussing computer packages for state space methods.

Keywords:   filtering, smoothing, regression estimation, square root filter, smother, multivariate time series, univariate series

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