TY  - BOOK
AU  - Durbin, James
AU  - Koopman, Siem Jan
TI  - Time series analysis by state space methods 
SN  - 9780198523543
U1  - 519.55 
PY  - 2001///
CY  - Oxford
PB  - Oxford University Press
KW  - Time-series analysis
KW  - State-space methods
KW  - Box-Jenkins ARIMA system
KW  - Bayesian analysis
KW  - Gaussian process
N2  - The book presents a comprehensive treatment of the state space approach to time series analysis. The distinguishing feature of state space time series models is that observations are regarded as made up of distinct components such as trend, seasonal, regression elements and disturbance elements, each of which is modelled separately. The techniques that emerge from this approach are very flexible and are capable of handling a much wider range of problems than the main analytical system currently in use for time series analysis, the Box-Jenkins ARIMA system
ER  -