State space methods and unobserved component models are important in a wide range of subjects, including economics, finance, environmental science, medicine and engineering. The conference ‘State space and unobserved component models’, part of the Academy Colloquium programme of the Royal Netherlands Academy of Arts and Sciences, held in Amsterdam from 29 August to 3 September, 2002 brought together researchers from many different areas, but all pursuing a common statistical theme. The papers selected for this volume will give people unfamiliar with state space models a flavour of the work being carried out as well as providing experts with valuable state-of-the-art summaries of different topics.

The conference on state space methods afforded an ideal opportunity to honour Jim Durbin. Jim has been an active researcher in statistics for over fifty years. His first paper, published in 1950, set out the theory of what was to become known as the Durbin–Watson test. He subsequently published in many other areas of statistics, including sampling theory and regression, but over the last fifteen years or so his attention has again been focussed on time series, and in particular on state space models. A steady stream of work has appeared, beginning with the study of the British seat belt law with Andrew Harvey and culminating in the book with Siem Jan Koopman.

It is entirely fitting that the first article in the volume should be by Jim. His clear and lucid style has been an inspiration to generations of students at the London School of Economics – including all three editors of this book – and his paper provides an ideal introduction to unobserved components models.