Munich Personal RePEc Archive

Dynamic State-Space Models

Karapanagiotidis, Paul (2014): Dynamic State-Space Models.

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A review of the general state-space modeling framework. The discussion focuses heavily on the three prediction problems of forecasting, filtering, and smoothing within the state- space context. Numerous examples are provided detailing special cases of the state-space model and its use in solving a number of modeling issues. Independent sections are also devoted to both the topics of Factor models and Harvey’s Unobserved Components framework.

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