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Statistical algorithms for models in state space using SsfPack 2.2
Koopman, Siem Jan; Shephard, Neil G.; Doornik, Jurgen A. - 1998
Persistent link: https://www.econbiz.de/10000167948
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Fast filtering and smoothing for multivariate state space models
Koopman, Siem Jan; Durbin, James - 1998
Persistent link: https://www.econbiz.de/10000981433
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Modelling bid-ask spreads in competitive dealership markets
Koopman, Siem Jan; Lai, Hung-neng - 1998
Persistent link: https://www.econbiz.de/10000984963
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Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives
Durbin, James; Koopman, Siem Jan - 1998
Persistent link: https://www.econbiz.de/10000998337
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Signal extraction and the formulation of unobserved components models
Harvey, Andrew; Koopman, Siem Jan - 1999
Persistent link: https://www.econbiz.de/10001377167