Providing a practical introduction to state space methods as applied to unobserved components time series models, also known as structural time series models, this book introduces time series analysis using state space methodology to ...
Introduction to state-space methods covers feedback control; state-space representation of dynamic systems and dynamics of linear systems; frequency-domain analysis; controllability and observability; shaping the dynamic response; more. ...
Provides a thorough introduction to the properties of linear, time-invariant models of dynamical systems, as required for further work in feedback control system design, power system design and analysis, communications, signal processing, ...
Durbin (statistics, London School of Economics and Political Science) and Koopman (econometrics, Free U., Amsterdam) extol the virtues of such models over the main analytical system currently used for time series data, Box-Jenkins' ARIMA.
The book blends readability and accessibility common to undergraduate control systems texts with the mathematical rigor necessary to form a solid theoretical foundation.
In that sense, the book also serves as a valuable research reference." W.J. Satzer, MathDL, May, 2005 "I heartily recommend this book as a remarkably complete reference for researchers doing theoretical work involving linear systems.