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Forecasting, Structural Time Series Models and the Kalman Filter by Andrew C. Harvey (Hardcover, 1990)

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Introduction; 2. State space models and the Kalman filter; 4. Testing and model selection; 6. Extensions of the univariate model; 7. Explanatory variables; 8. Multivariate models; 9. '… if you're looking for a state of the art monograph on applied aspects of state-space representations, and Kalman filtering … then Harvey's book is required reading.'.