An Introduction to State Space Time Series Analysis

By J. Commandeur, S. J. Koopman. 2007

339 citations recorded by the source corpus.

Subfields: Artificial Intelligence

View Paper: https://www.semanticscholar.org/paper/7484ac5141a318fc2dd033d17de36233428a8653

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In Artificial Intelligence

1. George Athanasopoulos
2. Haiyan Song
3. Stephen F. Witt
4. Gang Li
5. L. Hunt
6. Zafer Dilaver

Citations in the corpus

• Industrial electricity demand for Turkey: A structural time series analysis (2011, background): “…made, based on carrying these estimated parameters into the future while smoothing the algorithm in order to obtain the best estimate of the state at any point (Harvey and Shephard, 1993; Commandeur and Koopman, 2007; Durbin and Koopman, 2001; Harvey et al., 2005; and Harvey and Proietti, 2005).”
• Forecasting tourist arrivals using time-varying parameter structural time series models (2011, methodology): “…statistic, approximately distributed as chi-square (2) under the null hypothesis; H(23) is a heteroscedasticity statistic distributed as F(23, 23) based on a two-tailed test (Commandeur & Koopman, 2007); Q(10, 7) is the Box-Ljung statistic distributed as chi-square (7); r(1) and r(10) are…”