State-Space and Multivariate ARMAX Models

  • Robert H. Shumway
  • David S. Stoffer
Part of the Springer Texts in Statistics book series (STS)

Abstract

A very general model that seems to subsume a whole class of special cases of interest in much the same way that linear regression does is the state-space model or the dynamic linear model (DLM), which was introduced in Kalman (1960) and Kalman and Bucy (1961). Although the model was originally introduced as a method primarily for use in aerospace-related research, it has recently been applied to modeling data from economics (Harrison and Stevens, 1976, Harvey and Pierse, 1984, Harvey and Todd, 1983, Kitagawa and Gersch 1984, Shumway and Stoffer, 1982), medicine (Jones, 1984) and the soil sciences (Shumway, 1985).

Keywords

Kalman Filter ARMA Model Observation Equation Stochastic Volatility Model Seasonal Component 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 2000

Authors and Affiliations

  • Robert H. Shumway
    • 1
  • David S. Stoffer
    • 2
  1. 1.Division of StatisticsUniversity of California, DavisDavisUSA
  2. 2.Department of StatisticsUniversity of PittsburghPittsburgUSA

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