References
Box, George E. P. and Gwilym M. Jenkins (1976). Time Series Analysis: Forecasting and Control, Revised Edition, Oakland, CA: Holden-Day.
Hamilton, James D. (1994a). Time Series Analysis, Princeton University Press.
Hamilton, James D. (1994b). “State Space Models,” Chapter 50 in Robert F. Engle and Daniel L. McFadden (eds.), Handbook of Econometrics, Volume 4, Amsterdam: Elsevier Science B.V.
Harvey, Andrew C. (1989). Forecasting, Structural Time Series Models and the Kalman Filter, Cambridge: Cambridge University Press.
Koopman, Siem Jan, Neil Shephard, and Jurgen A. Doornik (1999). “Statistical Algorithms for Models in State Space using SsfPack 2.2,” Econometrics Journal, 2(1), 107-160.