State transition specification in state‐space models

Piet de Jong

doi:10.1111/j.1467-9892.1986.tb00504.x

State transition specification in state‐space models

Piet de Jong^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	213-216
Number of pages	4
Journal	Journal of Time Series Analysis
Volume	7
Issue number	3
DOIs	https://doi.org/10.1111/j.1467-9892.1986.tb00504.x
Publication status	Published - 1986
Externally published	Yes

Keywords

polynomial extrapolation
State‐space models

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10.1111/j.1467-9892.1986.tb00504.x

Cite this

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title = "State transition specification in state‐space models",

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.",

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State transition specification in state‐space models

Abstract

Keywords

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