Time Series Analysis by State Space Methods

ISBN: 9780199641178 出版年：2013 页码：369 Durbin, James Koopman, Siem Jan Oxford University Press

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.