VAR Based State–space Structures: Realization, Statistics and Spectral Analysis

DOI10.1007/978-3-642-19730-7_21zbMath1255.91349OpenAlexW2284802484MaRDI QIDQ4899764

Vasilis K. Dertimanis, D. Koulocheris

Publication date: 9 January 2013

Published in: Informatics in Control Automation and Robotics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-19730-7_21

zbMATH Keywords

estimationtime seriescovariance functionGreen functionspectral densitystate spacedispersion analysisvector autoregressive

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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