An introduction to state space modeling (in Russian)
AbstractMany time series models, primarily various models with unobservable components, can be represented in a so called state space form. A state space model is a powerful tool that allows one to apply to the original model a wide range of standard procedures including estimation and forecasting. This essay provides a survey of this universal class of models and related procedures.
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Bibliographic InfoArticle provided by Quantile in its journal Quantile.
Volume (Year): (2011)
Issue (Month): 9 (July)
Contact details of provider:
Web page: http://quantile.ru/
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