Jose Manuel Carro Casals Alfredo Garcia-Hiernaux Miguel Jerez
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 formulation written in state-space form. Moreover, it can accommodate with a reasonable effort nonstandard situations, such as observation errors, aggregation constraints, or missing in-sample values.
Exploring the advantages of this approach, State-Space Methods for Time Series Analysis: Theory, Applications and Software presents many computational procedures that can be applied to a previously specified...
The state-space approach provides a formal framework where any result or procedure developed for a basic model can be seamlessly applied to a stand...
