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An introduction to state space modeling (in Russian)

Author

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  • Alexander Tsyplakov

    (Novosibirsk State University, Russia)

Abstract

Many 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.

Suggested Citation

  • Alexander Tsyplakov, 2011. "An introduction to state space modeling (in Russian)," Quantile, Quantile, issue 9, pages 1-24, July.
  • Handle: RePEc:qnt:quantl:y:2011:i:9:p:1-24
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