Kooman & Commandeur (2007)

Examples and exercises from "An Introduction to State Space Time Series Analysis", Koopman & Commandeur (2007).

Excellent resources on replicating this text already exist:

• Shigeru Ono: Beautiful code, but the text is in Japanese, and not sure that the translation does justice to the author's dry humor.
• Radhakrishna: I have not read through this yet, but looks detailed and meticulous.

Contents:

1. Chapter 2: The local level model
2. Chapter 3: The local linear trend model
3. Chapter 4: The local level model with seasonal
4. Chapter 5: The local level model with explanatory variables
5. Chapter 6: The local level model with intervention variables
6. Chapter 7: The UK seat belt and inflation models
7. Chapter 8: General treatment of univariate state space models
8. Chapter 9: Multivariate time series analysis
9. Chapter 10: State space and Box-Jenkins models for time series analysis
10. Chapter 11: State space modeling in practice