Abstract
A linear wide-sense state space model for an observable p-variate stochastic process Y t , defined on an appropriate probability space \((\Omega,\mathcal{F},\mathcal{P})\), is described by the following set of equations:
The first equation is usually called the measurement equation, and the second is known as the state equation.
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Pizzinga, A. (2012). Linear State Space Models and Kalman Filtering. In: Restricted Kalman Filtering. SpringerBriefs in Statistics, vol 12. Springer, New York, NY. https://doi.org/10.1007/978-1-4614-4738-2_2
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