A two-step state space time series modeling method (Q1116605)
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scientific article; zbMATH DE number 4090634
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A two-step state space time series modeling method |
scientific article; zbMATH DE number 4090634 |
Statements
A two-step state space time series modeling method (English)
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1989
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A state space method for building time series models without detrending each component of data vectors is presented. The method uses the recent algorithm based on the singular value decomposition of the Hankel matrix and a two step sequential procedure suggested by the notion of dynamic aggregation.
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state space method
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time series models
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singular value decomposition of the Hankel matrix
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two step sequential procedure
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dynamic aggregation
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