Analyzing X-ray variability by State Space Models

In recent years, autoregressive models have had a profound impact on the description of astronomical time series as the observation of a stochastic process. These methods have advantages compared with common Fourier techniques concerning their inherent stationarity and physical background. If autoregressive models are used, however, it has to be taken into account that real data always contain observational noise often obscuring the intrinsic time series of the object. We apply the technique of a Linear State Space Model which explicitly models the noise of astronomical data and allows to estimate the hidden autoregressive process. As an example, we have analysed a sample of Active Galactic Nuclei (AGN) observed with EXOSAT and found evidence for a relationship between the relaxation timescale and the spectral hardness.