Most statistical time series models (e.g. ARIMA) models can be obtained using Kalman filters, if you fit them automatically, rather than choose the p-d-q values

Most statistical time series models (e.g. ARIMA) models can be obtained using Kalman filters, if you fit them automatically, rather than choose the p-d-q values by hand. That’s how the auto.arima function in R works. https://stats.stackexchange.com/questions/316676/arima-vs-kalman-filter-how-are-they-related#316723 https://stats.stackexchange.com/questions/316676/arima-vs-ka...