A solution to the positivity problem in the state-space approach to modeling vector-valued time series

DOI10.1016/0165-1889(93)90004-CzbMath0768.62081OpenAlexW1976698383MaRDI QIDQ2366136

Richard J. Vaccaro, Tomislav Vukina

Publication date: 29 June 1993

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

Full work available at URL: https://doi.org/10.1016/0165-1889(93)90004-c

zbMATH Keywords

Fourier transformalgebraic Riccati equationcovariance modelpositive definite solutionstate-space approachautocovariance modelstate-vector covariance matrixunconditional error sum of squaresvector-valued time serieszero-lag autocovariance matrix

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Matrix equations and identities (15A24)

Related Items (2)

Canonical correlation analysis, approximate covariance extension, and identification of stationary time series ⋮ Price forecasting with state-space models of nonstationary time series: Case of the Japanese salmon market

Cites Work

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• A method for approximate representation of vector-valued time series and its relation to two alternatives
• System theoretic time series: An application to inventories and prices of California range cattle
• An instrumental variables interpretation of linear systems theory estimation

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