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James Durbin and Siem Jan Koopman. This book presents a comprehensive treatment of the state space approach to time series analysis. Keywords: unobserved components, Kalman filter and smoother, signal extraction, forecasting, maximum likelihood, extended Kalman filter, unscented.
Table of contents

For these, analytical solutions are not available so methods are based on simulation.

Author Index. Subject Index.

Time Series Analysis by State Space Methods

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Subject Index.