Journals Higher Education



Published: 03 May 2012

368 Pages | 34 b/w illustrations


ISBN: 9780199641178

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Time Series Analysis by State Space Methods

Second Edition

The late James Durbin and Siem Jan Koopman

Oxford Statistical Science Series

  • Clear, comprehensive introudction to the state space approach to time series analysis
  • Written by leaders in the field
  • Complete treatment of linear Gaussian models
  • New material including the filtering of nonlinear and non-Gaussian series and exercise sections

New to this Edition:

  • Extensive foundation of filtering and smoothing
  • Updated discussions on simulation smoothing methods
  • New sections on dynamic factor analysis, state smoothing analysis and more detail on Markov chain Monte Carlo methods
  • Analysis of nonlinear and non-Gaussian state space methods
  • Now includes exercise sections

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