An Introduction to State Space Time Series Analysis

• Accessible introduction to state space methods in time series analysis for those with a basic understanding of classical linear regression models
• Provides a complete exposition with a clear introduction of the ideas and workings underlying the methods
• Uses a clear step by step treatment and provides practical examples throughout

Readership: Practitioners in business and government; Graduate students and researchers in economics, business, social sciences, statistics, econometrics.

Jacques J.F. Commandeur, Senior Researcher, SWOV Institute for Road Safety Research, Leidschendam, The Netherlands, and Siem Jan Koopman, Professor of Econometrics, Vrije Universiteit, The Netherlands

"a fascinating read...excellent" - CFA Society of the UK

"I really recommend this book. It is a very good read and it is very reasonably priced." - Paul Eilers, The Newsletter of the Dutch Classification Society

1: Introduction
2: The Local Level Model
3: The Local Linear Trend Model
4: The Local Level Model with Seasonal
5: The Local Level Model with Explanatory Variable
6: The Local Level Model with Intervention Variable
7: The UK Seat Belt and Inflation Models
8: General Treatment of Univariate State Space Models
9: Multivariate Time Series Analysis
10: State Space and Box-Jenkins Methods for Time Series Analysis
11: State Space Modelling in Practice
12: Conclusions
Appendix A UK Drivers KSI and Petrol Price
Appendix B Road Traffic Fatalities in Norway and Finland
Appendix C UK Front and Rear Seat Passengers KSI
Appendix D UK Price Changes