Hello, I am currently trying to work with some state space/varmax models and realize that I am lacking adequate knowledge with these methods. I am hoping to find some suggested resources (books, videos, etc…) to bring me up to speed. I have found the following resource (found by looking at statsmodels varmax citation) Lütkepohl, Helmut. 2007. New Introduction to Multiple Time Series Analysis. Berlin: Springer and wanted to add a few more resources on top of that.
Any recommendations are appreciated!
For understanding state space in general, I suggest Time Series Analysis by State Space Methods. For time series forecasting generally, check out Forecasting: Principals and Practice. For Kalman filtering, there’s Kalman and Bayesian Filters in Python.
For video resources, I like these two videos as an introduction and overview of structural time series modeling. I haven’t found a really high quality resource specifically on VAR modeling, but you get a lot of the necessary intuition from studying structural models generally.
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Thank you so much, Jesse!