State transition specification in state‐space models

Piet de Jong*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review


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
Issue number3
Publication statusPublished - 1986
Externally publishedYes


  • polynomial extrapolation
  • State‐space models

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