= State-space model
{disambiguate=time series}
{title2=$S_t=FS_{t-1}+Z_t,\quad Y_t=HS_t+W_t$}
= State-space model
{synonym}
A state-space model separates a latent transition equation $S_t=FS_{t-1}+Z_t$ from an observation equation $Y_t=HS_t+W_t$. A complete specification includes the initial-state law and its relation to the noise sequences, not just the two equations. Linear second-order models specify covariance structure; Gaussian versions additionally prescribe joint Gaussian laws.
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