State-Space Models - Statistics Department
parametric ARMA models as concise expressions for the lag weights as functions of the underlying ARMA parameters, j = j(˚; ): X t = X j j(˚; )w t j: This expression writes each observation as a function of the entire his-tory of the time series. State-space models represent the role of history di erently in a nite-dimensional vector, the ...
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