Chapter 10: Models with Unobserved Components
10.1 Formulation of the Basic Model
10.4 Estimation of Unobserved Components Models
10.5 State Space Models in SAS
10.1 Formulation of the Basic Model
This chapter briefly describes the theory of unobserved components models for time series in order to provide a background for the applications of the many facilities in PROC UCM discussed in the chapters that follow. The unobserved components models are a rich and flexible class of models for data series that explicitly allow for time-varying structures that often appear in observed data series as the underlying data-generating processes. Such structures can in no way be assumed to be constant. ...
