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State-Space Models and the Kalman Filter

In: Time Series Econometrics

Author

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  • Klaus Neusser

Abstract

The state space representation is a flexible technique originally developed in automatic control engineering to represent, model, and control dynamic systems. Thereby we summarize the unobserved or partially observed state of the system in period t by an m-dimensional vector X t . The evolution of the state is then described by a VAR of order one usually called the state equation. A second equation describes the connection between the state and the observations given by a n-dimensional vector Y t .

Suggested Citation

  • Klaus Neusser, 2016. "State-Space Models and the Kalman Filter," Springer Texts in Business and Economics, in: Time Series Econometrics, chapter 17, pages 325-352, Springer.
    • Handle: RePEc:spr:sptchp:978-3-319-32862-1_17
    DOI: 10.1007/978-3-319-32862-1_17
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