Time Series Analysis by State Space Methods

Name: Time Series Analysis by State Space Methods
Author: London School of Economics and Political Sciences) The late James (Formerly Professor of Statistics Durbin

London School of Economics and Political Sciences) The late James (Formerly Professor of Statistics Durbin, Amsterdam) Free University Siem Jan (Department of Econometrics Koopman

Oxford University Press

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This new edition updates Durbin & Koopman's important text on the state space approach to time series analysis providing a more comprehensive treatment, including the filtering of nonlinear and non-Gaussian series. The book provides an excellent source for the development of practical courses on time series analysis.

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