Time Series Analysis by State Space Methods - Durbin, The late James (Formerly Professor of Statistics, London School of Economics and Political Sciences) a Koopman, Siem Jan (Department of Econometrics, Free University, Amsterdam)

This new edition updates Durbin & Koopman's important text on the state space approach to time series analysis providing a more comprehensive treatment, including the filtering of nonlinear and non-Gaussian series. The book provides an excellent source for the development of practical courses on time series analysis.