Jose Casals and Alfredo Garcia-Hiernaux, "State-Space Methods for Time Series Analysis: Theory, Applications and Software" English | ISBN: 148221959X | 2016 | 298 pages | PDF | 8 MB
Multivariate Time Series With Linear State Space Structure Springer | Statistics | June 10, 2016 | ISBN-10: 331928598X | 541 pages | pdf | 4.82 mb
Authors: Gómez, Víctor Provides a comprehensive account of both theory and algorithms for time series and linear state space models Refers to a webpage with algorithms programmed in MATLAB and numerous examples Studies the relationship between VARMA and state space models and between Wiener-Kolmogorov theory and Kalman filtering