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State Space Modeling of Time Series

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Cover of 'State Space Modeling of Time Series'

Table of Contents

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    Book Overview
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    Chapter 1 Introduction
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    Chapter 2 The Notion of State
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    Chapter 3 Data Generating Processes
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    Chapter 4 State Space and ARMA Models
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    Chapter 5 Properties of State Space Models
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    Chapter 6 Hankel Matrix and Singular Value Decomposition
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    Chapter 7 Innovation Models, Riccati Equations, and Multiplier Analysis
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    Chapter 8 State Vectors and Optimality Measures
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    Chapter 9 Estimation of System Matrices
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    Chapter 10 Approximate Models and Error Analysis
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    Chapter 11 Integrated Time Series
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    Chapter 12 Numerical Examples
Attention for Chapter 5: Properties of State Space Models
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