The SSM Procedure

Background

State space models are widely used in a variety of fields such as engineering, statistics, econometrics, and agriculture. There are numerous references that deal with state space modeling, particularly with the state space modeling of time series data. State space modeling of longitudinal data has received a little less attention. The primary reference for the modeling techniques implemented in the SSM procedure is Harvey (1989). It contains treatment of both the time series and longitudinal data. Other useful books about this subject are: Durbin and Koopman (2001); Jones (1993); Anderson and Moore (1979). In addition, informative articles about state space modeling of longitudinal data include Wecker and Ansley (1983); Kohn and Ansley (1991); De Jong and Mazzi (2001); Eubank, Huang, and Wang (2003). For the implementation details of the diffuse Kalman filter and smoother (the main computational tool used by the SSM procedure), the main references are a series of articles (De Jong, 1989, 1991; De Jong and Chu-Chun-Lin, 2003) and the references therein.