State-Space and Multivariate ARMAX Models
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).
KeywordsKalman Filter ARMA Model Observation Equation Stochastic Volatility Model Seasonal Component
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