The Dimensionality of the Aliasing Problem in Models With Rational Spectral Densities
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Publication:3664957
DOI10.2307/1911996 10.21034/sr.72; 10.2307/1911996zbMath0516.93063OpenAlexW2046719731MaRDI QIDQ3664957
Thomas J. Sargent, Lars Peter Hansen
Publication date: 1983
Full work available at URL: https://doi.org/10.2307/1911996
parameter identificationcontinuous-time stochastic processaliasing problemrational spectral density matrix
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15) Sampled-data control/observation systems (93C57) Identification in stochastic control theory (93E12) Eigenvalues, singular values, and eigenvectors (15A18) Model systems in control theory (93C99)
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