Notes on poles of autoregressive type model, II: Robust singular pole (Q1100838)
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scientific article; zbMATH DE number 4044980
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Notes on poles of autoregressive type model, II: Robust singular pole |
scientific article; zbMATH DE number 4044980 |
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Notes on poles of autoregressive type model, II: Robust singular pole (English)
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1987
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[For part I see the preceding review, Zbl 0641.62053.] Let \(x(t)=[x_ 1(t),x_ 2(t),x_ 3(t)]'\) be a 3-dimensional AR(1) process. It is assumed that only \(y(t)=[x_ 1(t),x_ 2(t)]'\) can be observed. Then y(t) follows a 2-dimensional ARMA process, which can be written in an AR(\(\infty)\) form. Taking only a finite number of members of this AR(\(\infty)\) expression one gets a truncated AR (TAR) model. The authors investigate location of poles of the TAR model and their relations to the poles of the original model.
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robust singular pole
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linear Gauss-Markov system
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autoregressive moving average
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truncated AR processes
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3-dimensional AR(1) process
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2- dimensional ARMA process
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location of poles
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TAR model
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