AR systems and AR processes: the singular case

DOI10.4310/CIS.2011.v11.n3.a2zbMath1271.93137OpenAlexW2328607819MaRDI QIDQ359813

Manfred Deistler, Alexander Filler, Bernd Funovits

Publication date: 22 August 2013

Published in: Communications in Information and Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/cis.2011.v11.n3.a2

zbMATH Keywords

corresponding Yule-Walker equationsdynamic factor analysisparticular canonical formpossible non-uniquenesssingular case ar processeswhite noise innovation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Multivariable systems, multidimensional control systems (93C35) Stochastic systems in control theory (general) (93E03)

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