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Interpolation and backdating with a large information set
Angelini, Elena, (2003)
Frequency domain principal components estimation of fractionally cointegrated processes
Morana, Claudio, (2004)
Time series analysis by state space methods
Durbin, James, (2001)
Fast filtering and smoothing for multivariate state space models
Koopman, Siem Jan, (1998)
Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives
Durbin, James, (1998)