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Time Series Analysis by State Space Methods

Penned By J. Durbin
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4.85
83,905 Global Ratings
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Time Series Analysis by State Space Methods

Penned By J. Durbin
4.85 83,905 Ratings
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Editor's Note:
This new edition updates Durbin & Koopman's important text on 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 anddisturbance terms, 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. Additions tothis second edition include the filtering of nonlinear and non-Gaussian series.Part I of the book obtains the mean and variance of the state, of a variable intended to measure the effect of an interaction and of regression coefficients, in terms of the observations.Part II extends the treatment to nonlinear and non-normal models. For these, analytical solutions are not available so methods are based on simulation.

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Length N/A Pages
Language Eng
Released July 1, 2012
Identifier (ISBN) 16204290
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J. Durbin
The Mind Behind the Work
J. Durbin

After spending years working in the corporate world, J. Durbin finally decided to pursue a lifelong passion for writing. They currently reside in a quiet suburb where they spend most of their time outlining new stories, reading extensively, and occasionally attempting to bake.

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Kevin Thomas
Kevin Thomas May 19, 2024
"A decent, if standard, experience. Certain acts were fascinating, while others felt like a slight endeavor to complete. A fair 3 stars."
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"Absolutely brilliant. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An absolute must-read for connoisseurs of the genre."
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Rebecca Walker
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"A very strong entry. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A wonderful companion for a quiet weekend."
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"It was adequate. Certain acts were fascinating, while others felt like a slight endeavor to complete. Perfectly average."
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"Such a rich narrative. The author orchestrated a breathtaking finale. Truly a work of art. I will undoubtedly revisit this masterpiece."
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"Absolutely brilliant. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. A true literary gem."
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"Masterpiece from start to finish. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I am now a lifelong fan of this author."
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"Exceeded all my expectations. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I will undoubtedly revisit this masterpiece."
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"Such a rich narrative. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. I will undoubtedly revisit this masterpiece."
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"Such a rich narrative. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. I am now a lifelong fan of this author."
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"Exceeded all my expectations. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. I am now a lifelong fan of this author."
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"Took a moment to build, but the payoff was spectacular. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. Quite impressive overall."
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"Masterpiece from start to finish. The author orchestrated a breathtaking finale. Truly a work of art. Worth every moment spent reading."
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"Masterpiece from start to finish. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. Worth every moment spent reading."
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"Absolutely brilliant. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I am now a lifelong fan of this author."
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"Masterpiece from start to finish. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. A true literary gem."
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"A profoundly satisfying read. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. I will undoubtedly revisit this masterpiece."
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"A profoundly satisfying read. The prose is exquisite. It’s accessible yet undeniably sophisticated. An effortless 5 stars."
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"Masterpiece from start to finish. The prose is exquisite. It’s accessible yet undeniably sophisticated. I am now a lifelong fan of this author."
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"Honestly one of the most premium reading experiences lately. I adored how the story unfolded. It kept me captivated without sacrificing elegance. A true literary gem."
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Betty White October 16, 2024
"Honestly one of the most premium reading experiences lately. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. Worth every moment spent reading."
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"Such a rich narrative. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. Worth every moment spent reading."
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"Such a rich narrative. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An effortless 5 stars."
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"A profoundly satisfying read. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I will undoubtedly revisit this masterpiece."
Mark Campbell
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"Exceeded all my expectations. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An absolute must-read for connoisseurs of the genre."
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"Honestly one of the most premium reading experiences lately. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I am now a lifelong fan of this author."
Jennifer Anderson
Jennifer Anderson December 01, 2024
"Exceeded all my expectations. The prose is exquisite. It’s accessible yet undeniably sophisticated. I am now a lifelong fan of this author."
Steven Roberts
Steven Roberts November 01, 2024
"Masterpiece from start to finish. The author orchestrated a breathtaking finale. Truly a work of art. An effortless 5 stars."
Gary Robinson
Gary Robinson May 23, 2024
"Took a moment to build, but the payoff was spectacular. The middle had a deliberate pace, but the climax was phenomenal. A very distinguished novel."
Brian Jones
Brian Jones June 02, 2025
"Absolutely brilliant. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. A true literary gem."
Gary Thompson
Gary Thompson March 10, 2025
"I was completely blown away. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. I will undoubtedly revisit this masterpiece."
Susan Gonzalez
Susan Gonzalez February 21, 2025
"Such a rich narrative. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. A true literary gem."
Carol Cruz
Carol Cruz December 14, 2024
"I thoroughly enjoyed the elegance of it. The middle had a deliberate pace, but the climax was phenomenal. A wonderful companion for a quiet weekend."
Steven Reyes
Steven Reyes January 06, 2024
"I was completely blown away. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An absolute must-read for connoisseurs of the genre."
Joseph Johnson
Joseph Johnson November 03, 2025
"It was adequate. It possessed moments of brilliance, but the narrative felt slightly disjointed ultimately. A fair 3 stars."
Dorothy Edwards
Dorothy Edwards December 23, 2025
"Exceeded all my expectations. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. A true literary gem."
Anthony Lewis
Anthony Lewis May 03, 2024
"I was completely blown away. The author orchestrated a breathtaking finale. Truly a work of art. Worth every moment spent reading."
Dorothy Adams
Dorothy Adams February 05, 2025
"Absolutely brilliant. I became deeply invested in the protagonist's journey. A masterclass in storytelling. Worth every moment spent reading."
Richard Sanchez
Richard Sanchez May 15, 2025
"Such a rich narrative. I became deeply invested in the protagonist's journey. A masterclass in storytelling. A true literary gem."
Jennifer Hall
Jennifer Hall October 07, 2025
"Honestly one of the most premium reading experiences lately. I adored how the story unfolded. It kept me captivated without sacrificing elegance. A true literary gem."
Christopher Perez
Christopher Perez November 08, 2025
"Honestly one of the most premium reading experiences lately. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I will undoubtedly revisit this masterpiece."
Laura Young
Laura Young April 24, 2025
"Excellent, though slightly flawed. It held my rapt attention, even when certain twists were telegraphed. A wonderful companion for a quiet weekend."
Jessica Campbell
Jessica Campbell August 15, 2025
"Exceeded all my expectations. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. A true literary gem."
Emily Evans
Emily Evans November 14, 2025
"Honestly one of the most premium reading experiences lately. I became deeply invested in the protagonist's journey. A masterclass in storytelling. A true literary gem."
Carol Gonzalez
Carol Gonzalez August 18, 2025
"A profoundly satisfying read. The prose is exquisite. It’s accessible yet undeniably sophisticated. I will undoubtedly revisit this masterpiece."
Nancy Phillips
Nancy Phillips September 27, 2025
"A highly sophisticated read. The middle had a deliberate pace, but the climax was phenomenal. I would highly recommend this to discerning readers."
Sharon Flores
Sharon Flores December 10, 2025
"A highly sophisticated read. The middle had a deliberate pace, but the climax was phenomenal. A solid 4 stars from me."
Patricia Garcia
Patricia Garcia February 07, 2025
"Exceeded all my expectations. The prose is exquisite. It’s accessible yet undeniably sophisticated. Worth every moment spent reading."
Mary Wilson
Mary Wilson October 29, 2025
"Took a moment to build, but the payoff was spectacular. The middle had a deliberate pace, but the climax was phenomenal. A very distinguished novel."
Betty Johnson
Betty Johnson July 12, 2024
"I find myself somewhat conflicted. Certain acts were fascinating, while others felt like a slight endeavor to complete. A fair 3 stars."
Brian Sanchez
Brian Sanchez September 12, 2024
"A highly sophisticated read. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A wonderful companion for a quiet weekend."
Barbara Allen
Barbara Allen November 12, 2025
"Masterpiece from start to finish. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I am now a lifelong fan of this author."
Ashley Anderson
Ashley Anderson August 22, 2025
"Excellent, though slightly flawed. The protagonist was compelling, though some subplots felt slightly overshadowed. A solid 4 stars from me."
Dorothy Baker
Dorothy Baker November 26, 2025
"Exceeded all my expectations. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An absolute must-read for connoisseurs of the genre."
Brian Sanchez
Brian Sanchez July 16, 2025
"Masterpiece from start to finish. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I am now a lifelong fan of this author."
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