An Introduction to State Space Time Series Analysis - ISBN:0199228876

An Introduction to State Space Time Series Analysis

Date: 15 April 2011, 11:29

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Great for the technical non-specialist!
I found this book extremely helpful and I highly recommend it. I am a technical person, but in a different area (optimization). I have been trying to learn about forecasting, and particularly state space methods. I have read the classics: Harvey (1989) and Durbin and Koopman (2002) and they are great, but they leave out all the practical stuff. Why are we doing this? What will the results look like? How do we actually initialize the process? Nothing but equations and more equations for more and more obscure mathematical variations. How do we actually use this stuff? That is where Commandeur & Koopman is invaluable. The STAMP and SsfPack computer programs are used as a kind of "Deus ex Machina", so you have to know about the Kalman filtering and BFGS that is going on behind the curtain. But if you get the math but are confused about how to apply it, then this is the book for you.

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