A solution to the positivity problem in the state-space approach to modeling vector-valued time series (Q2366136)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A solution to the positivity problem in the state-space approach to modeling vector-valued time series |
scientific article |
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A solution to the positivity problem in the state-space approach to modeling vector-valued time series (English)
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29 June 1993
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state-space approach
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vector-valued time series
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autocovariance model
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algebraic Riccati equation
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state-vector covariance matrix
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Fourier transform
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covariance model
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positive definite solution
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zero-lag autocovariance matrix
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unconditional error sum of squares
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0.8707683
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0.8511635
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0.83891374
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0.83553565
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0.8325038
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0.8297302
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