The state-space approach provides a formal framework where any result or procedure developed for a basic model can be seamlessly applied to a standard formulati

This new edition updates Durbin & Koopman's important text on the state space approach to time series analysis. The distinguishing feature of state space time s

This book provides a comprehensive and concrete illustration of time series analysis focusing on the state-space model, which has recently attracted increasing

State space time series analysis emerged in the 1960s in engineering, but its applications have spread to other fields. Durbin (statistics, London School of Eco

Providing a practical introduction to state space methods as applied to unobserved components time series models, also known as structural time series models, t