Unobserved component models


No cake for spunky
Anyone know anything about this form of time series? I am brand new to it, but it seems interesting to do time series, particularly using independent variables. Alternatives such as the use of pre-whitened ARIMA or vector autoregressive models are a lot more complicated or assume Stationarity which is unlikely in the fields I work (and there are doubts if you can actually make the data stationary without distorting it).