Notes on economic time series analysis: system theoretic perspectives

zbMath0532.90001MaRDI QIDQ789283

Masanao Aoki

Publication date: 1983

Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

zbMATH Keywords

predictiondynamic resource allocationspectral theoryKalman filteringtime series analysisstate space modelsorthogonal projectionsHankel matricesARMA modelsintertemporal optimizationMarkovian modelscanonical correlation methodcausal invertibilityestimation of system matricesidentification of closed-loop systemsinnovation processesJapanese economyrational expectation models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Filtering in stochastic control theory (93E11) Inference from stochastic processes and spectral analysis (62M15) Economic time series analysis (91B84) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02) Model systems in control theory (93C99)

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Dynamic structural systems under indirect observation: Identifiability and estimation aspects from a system theoretic perspective ⋮ Optimal control in wide-sense stationary continuous-time stochastic models ⋮ A STATE SPACE TIME SERIES MODELLING METHOD WITHOUT INDIVIDUAL DETRENDING ⋮ A two-step state space time series modeling method ⋮ Multivariate time series analysis with state space models ⋮ On the dynamic structure of a seasonal component ⋮ State space modeling of time series: A review essay ⋮ Forecasting international growth rates with leading indicators: A system- theoretic approach ⋮ STRUCTURAL, DYNAMIC MODELLING IN UNOBSERVABLE SPACES OF COVARIANCE-STATIONARY STOCHASTIC PROCESSES ⋮ A method for approximate representation of vector-valued time series and its relation to two alternatives

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