State transition specification in state‐space models

Piet de Jong*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract

Abstract. This note investigates an approach to state transition specification in statespace models. The approach generalizes the procedure whereby first or higher order differences in the state are modelled as white noise.

Original languageEnglish
Pages (from-to)213-216
Number of pages4
JournalJournal of Time Series Analysis
Volume7
Issue number3
DOIs
Publication statusPublished - 1986
Externally publishedYes

Keywords

  • polynomial extrapolation
  • State‐space models

Fingerprint Dive into the research topics of 'State transition specification in state‐space models'. Together they form a unique fingerprint.

Cite this