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Fall 2010 16.30/31 5-2 SS Introduction • State space model: a representation thof the dynamics of an N order system as a ?rst order di?erential equation in an Solution by Kalman Filter Note on terminology: A state space model is in principle any model that includes an observation process Xt and a state process St. In control engineering, a state-space representation is a mathematical model of a physical system as a set of input, output and state variables related by first-order State Space Models and the Kalman Filter 1 Introduction 2 ARMA Models in State Space Form Consider the ARMA(1,1) model y t = 'y t 1 +" t + " t 1: De-ning t = ( Abstract. This chapter establishes the equivalence of time series model descriptions in terms of well-known ARMA models and less familiar Markovian (state space


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