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Practical Time Series Analysis Using SAS by Anders Milhøj

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Chapter 10: Models with Unobserved Components

10.1 Formulation of the Basic Model

10.2 ARIMA Representation

10.3 Extensions of the 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. ...

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