It's easy for me to fit ARIMA models in software such as R but I cannot find a "simple" example anywhere on the web for how to transform an ARIMA model to state space form (SSF)? I think it's the lagged error term that's causing me trouble here because otherwise I can easily see how to put it in SSF. If someone can step me through this it would be appreciated!!  $$(1-\phi_1B)(1-B)X_t = (1-\theta_1B)\epsilon_t$$  or  $$X_t=(\phi_1+1)X_{t-1}+\epsilon_t-\theta_1\epsilon_{t-1} $$
I have been reading Hamilton Chapter 13 and he has the following state space representation for an ARMA(p,q). Let $r = \max(p,q+1)$.Then the ARMA (p,q) process is as follows: $$ \begin{aligned}  y_t -\mu &amp;= \phi_1(y_{t-1} -\mu) + \phi_2(y_{t-2} -\mu) + ... + \phi_3(y_{t-3} -\mu) \\ &amp;+ \epsilon_t + \theta_1\epsilon_{t-1} + ... + \theta_{r-1}\epsilon_{t-r+1}.  \end{aligned} $$ Then, he defines the State Equation as follows:   $$  \xi_{t+1} = \begin{bmatrix}      \phi_1 &amp; \phi_2 &amp; \dots &amp; \phi_{r-1} &amp; \phi_r \\      1 &amp; 0  &amp; \dots &amp; 0 &amp; 0  \\      \vdots &amp; \vdots &amp; \dots &amp; 0 &amp; 0 \\      0 &amp; 0 &amp; \dots &amp;1 &amp;0 \end{bmatrix} \xi_t  +  \begin{bmatrix}      \epsilon_{t+1} \\     0\\\vdots  \\     0       \end{bmatrix}  $$  and the observation equation as:  $$y_t = \mu + \begin{bmatrix}      1 &amp; \theta_1 &amp; \theta_2 &amp; \dots &amp; \theta_{r-1} \\     \end{bmatrix} \xi_t. $$  I do not understand what the $\xi_t$ is in this case. Because in his AR(p) representation it is $\begin{bmatrix}      y_{t} - \mu \\     y_{t-1} - \mu\\\vdots  \\     y_{t-p+1} - \mu       \end{bmatrix}  $ and in his MA (1) representation it is $\begin{bmatrix}      \epsilon_{t} \\     \epsilon_{t-1}      \end{bmatrix}  $.  Could someone explain this to me a little bit better?
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I'm running the latest Kubuntu (12.04 beta 2) and I would like to run the latest emacs (currently v24). The repos are one version behind. What's the best way to install v24 or later (and avoid future version conflicts)?  Also, is there any reason not to aways use the GUI version of emacs if X is running? For example, could I set the GUI emacs version as the default text editor and use it to edit cron jobs (crontab -e)? I'm assuming the answer is yes, but since I haven't done that yet (my default editor is nano), I want to check if there are reasons I should leave nano as the default editor.  Usually when I'm working on the command line I end up using nano. Now that I think about it, I have no idea why I keep doing that. Is there any downside to calling a GUI editor when working in an X terminal?  EDIT: I briefly tested these two versions   GNU Emacs 24.0.94.1 (x86_64-pc-linux-gnu, GTK+ Version 3.3.20) from  GNU Emacs 23.3.1 (x86_64-pc-linux-gnu) installed by default in Kubuntu.   .  Unfortunately (for me) the defaults installed version (23.3.1, 23.3+1-1ubuntu9) is the nox version.   Package: emacs23-nox Status: install ok installed Version: 23.3+1-1ubuntu9 Replaces: emacs23, emacs23-gtk, emacs23-lucid   The package with version 24 opens in GUI mode by default. That's what I prefer. Some of the version 24 changes that interest me are listed in the references below.   But there appear to be a multitude of different packages and versions I could install.  References:   What’s New In Emacs 24 (part 1) | Mastering Emacs  "    shell-mode uses pcomplete rules, with the standard completion UI.  Yowzah! There’s a lot of cool, new functionality hidden away in this gem of a change." EmacsWiki: Recent Changes Suppose that $f$ is holomorphic on $\mathbb C$ and that $\Re(f(z))\ge 0$ for all $z$. Show that $f$ is constant. 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