In time series analysis the state space model provides a unified method offlexible modeling for analyzing modeling state estimation and parameterestimation. Thi... » 

In time series analysis the state space model provides a unified method offlexible modeling for analyzing modeling state estimation and parameterestimation. This book presents a modelbased method of analyzing predictingand simulating time series with various characteristics. Real data sets ineconomics finance seismology meteorology and ship engineering are used asexamples of the analysis. The author emphasizes the unified use of the statespace model smoothing and the information criterion AIC for model evaluation. «