State-Space Methods for Time Series Analysis

The way the authors of describe their book, it is the fruit of a long-lasting love affair with state space models, which started in the 1980s, inspired by the work of Box and Jenkins. Judging from the density of equations and symbols, it must be the theory of the subject that attracts them most. ... This book is not for the fainthearted. It explains a lotabout state space models. To use them, you have to accept the philosophy of detailed modelling of time series. In summary, if you are a specialist, or want to become one, you will like this book. - Paul Eilers, ISCB News, May 2017 This book synthesizes and presents the computational advantages of the state-space approach over the traditional time domain approaches to linear time series analysis. The explicit connection between the mainstream ARIMA time series models and the state-space representation, one of the main features of the book, is achieved by presenting many examples and procedures to combine, decompose, aggregate, and disaggregate an economic time series into the state-space form. More specifically, it provides a bridge for going back and forth between state-space models and the broad class of VARMAX models...Overall, this is a useful book on sate-space methods for time series analysis and covers substantial amount of material lucidly with a focus on computational aspects and software. It is an excellent reference book for self-study and can also be used as a companion for teaching time series analysis along with a standard time series text. -Mohsen Pourahmadi, Texas A&M University, in the Journal of Time Series Analysis, June 2017