A method for approximate representation of vector-valued time series and its relation to two alternatives

DOI10.1016/0304-4076(89)90002-XzbMath0692.62072OpenAlexW2058049057MaRDI QIDQ583795

Masanao Aoki, Arthur Havenner

Publication date: 1989

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(89)90002-x

zbMATH Keywords

numerical exampleoptimality criterianormalizationsAkaike modelfinite-dimensional state vector informationHankel norm approximationsMarkovian model constructionorder choicestable innovation modelsstate-space representation of vector-valued time seriesweak stochastic realization problemzero-mean weakly stationary vector stochastic process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (11)

A solution to the positivity problem in the state-space approach to modeling vector-valued time series ⋮ Cointegration analysis with state space models ⋮ Improved estimates of the parameters of state space time series models ⋮ Model specification tests for balanced representation state space models ⋮ System theoretic time series: An application to inventories and prices of California range cattle ⋮ A STATE SPACE CANONICAL FORM FOR UNIT ROOT PROCESSES ⋮ A Bayesian approach to state space multivariate time series modeling ⋮ Forecasting international growth rates with leading indicators: A system- theoretic approach ⋮ Using subspace algorithm cointegration analysis: simulation performance and application to the term structure ⋮ State space modeling of multiple time series ⋮ State space methods in asset pricing

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Notes on economic time series analysis: system theoretic perspectives
• System theoretic time series: An application to inventories and prices of California range cattle
• An instrumental variables interpretation of linear systems theory estimation
• Optimal Hankel-norm model reductions: Multivariable systems
• The effect of transformations of variables upon their correlation coefficients
• Calculation of the amount of information about a random function contained in another such function
• All optimal Hankel-norm approximations of linear multivariable systems and theirL,^∞-error bounds†
• Measures of Conditional Linear Dependence and Feedback Between Time Series
• Stochastic Realization and Invariant Directions of the Matrix Riccati Equation
• Model reduction via balanced state space representations
• Modeling Multiple Times Series with Applications
• Stochastic theory of minimal realization
• Markovian Representation of Stochastic Processes by Canonical Variables
• Prediction error identification methods for stationary stochastic processes
• On minimal splitting subspaces and markovian representations
• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
• When is an altoregressive scheme stationary

This page was built for publication: A method for approximate representation of vector-valued time series and its relation to two alternatives