From general state-space to VARMAX models

DOI10.1016/J.MATCOM.2012.01.001zbMath1238.62100OpenAlexW1979577943MaRDI QIDQ419456

Alfredo García-Hiernaux, Miguel Jerez, José Casals

Publication date: 18 May 2012

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: http://eprints.ucm.es/11450/1/1002.pdf

zbMATH Keywords

echeloncanonical forms

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

Extending the State-Space Model to Accommodate Missing Values in Responses and Covariates ⋮ The Co-Integrated Vector Autoregression with Errors–in–Variables

Uses Software

• E4

Cites Work

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• Exact maximum likelihood estimation of structured or unit root multivariate time series models
• Linear dynamic harmonic regression
• A fast and stable method to compute the likelihood of time invariant state-space models.
• The effect of transformations of variables upon their correlation coefficients
• An ARIMA-Model-Based Approach to Seasonal Adjustment
• Canonical matrix fraction and state-space descriptions for deterministic and stochastic linear systems
• An Exact Multivariate Model-Based Structural Decomposition

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