Improved estimates of the parameters of state space time series models

DOI10.1016/0165-1889(95)00874-8zbMath0875.90218OpenAlexW2083044900MaRDI QIDQ1351643

Zhiqiang Leng, Arthur Havenner

Publication date: 27 February 1997

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(95)00874-8

zbMATH Keywords

Time seriesDynamic factor estimationLatent variable estimationState space estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Economic growth models (91B62) Statistical methods; economic indices and measures (91B82)

Cites Work

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• A method for approximate representation of vector-valued time series and its relation to two alternatives
• An instrumental variables interpretation of linear systems theory estimation
• Multivariate time series analysis with state space models
• Fast projection methods for minimal design problems in linear system theory
• Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
• State space modeling of multiple time series
• Markovian Representation of Stochastic Processes by Canonical Variables

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