Efficient construction of canonical ladder forms for vector autoregressive processes

DOI10.1109/TAC.1982.1103111zbMath0498.93054OpenAlexW2037072597MaRDI QIDQ3964424

Mohamed T. Hadidi, Boaz Porat, Martin Morf

Publication date: 1982

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.1982.1103111

zbMATH Keywords

vector autoregressive processescanonical ladder form

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal detection and filtering (aspects of stochastic processes) (60G35) Canonical structure (93B10) Stochastic stability in control theory (93E15) Stochastic systems in control theory (general) (93E03) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

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