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

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

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

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

A comprehensive overview of developments in the theory and application of state space modeling, first published in 2004.