State Space Models for Count Time Series

Authored by: Richard A. Davis , William T.M. Dunsmuir

Handbook of Discrete-Valued Time Series

Print publication date:  December  2015
Online publication date:  January  2016

Print ISBN: 9781466577732
eBook ISBN: 9781466577749
Adobe ISBN:

10.1201/b19485-8

 Download Chapter

 

Abstract

The family of linear state-space models (SSM), which have been a staple in the time series literature for the past 70 plus years, provides a flexible modeling framework that is applicable to a wide range of time series. The popularity of these models stems in large part from the development of the Kalman recursions, which provides a quick updating scheme for predicting, filtering, and smoothing a time series. In addition, many of the commonly used time series models, such as univariate and multivariate ARMA and ARIMA processes can be embedded in an SSM, and as such can take advantage of fast recursive calculation related to prediction and filtering afforded by the Kalman recursions. Recent accounts of linear state space models can be found in Brockwell and Davis (1991), Brockwell and Davis (2002), Durbin and Koopman (2012), and Shumway and Stoffer (2011).

 Cite
Search for more...
Back to top

Use of cookies on this website

We are using cookies to provide statistics that help us give you the best experience of our site. You can find out more in our Privacy Policy. By continuing to use the site you are agreeing to our use of cookies.