Abstract
State space models may be regarded as generalizations of the models considered so far. They have been used extensively in system theory, the physical sciences, and engineering. The terminology is therefore largely from these fields. The general idea behind these models is that an observed multiple time series y 1..., y T depends upon a possibly unobserved state z t which is driven by a stochastic process.
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© 1991 Springer-Verlag Berlin Heidelberg
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Lütkepohl, H. (1991). State Space Models. In: Introduction to Multiple Time Series Analysis. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-02691-5_13
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DOI: https://doi.org/10.1007/978-3-662-02691-5_13
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-53194-4
Online ISBN: 978-3-662-02691-5
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