A test for the presence of pure feedback in multivariate dynamic stochastic systems

DOI10.1007/BF00057740zbMath0698.62097MaRDI QIDQ912557

Junji Nakano, Shigemi Tagami

Publication date: 1989

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

numerical resultstransfer function modelFPE criterionmultivariate autoregressive moving average modelmultivariate discrete dynamic stochastic systemportmanteau statisticprewhitened seriessample cross-covariance matricestesting the presence of a pure feedback loop

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes (62M99)

Cites Work

• A central limit theorem for stationary processes and the parameter estimation of linear processes
• Identifiability of linear stochastic systems operating under linear feedback
• Identification of processes in closed loop-identifiability and accuracy aspects
• Autoregressive model fitting for control
• The Multivariate Portmanteau Statistic
• The Analysis of Closed-Loop Dynamic-Stochastic Systems
• Feedback between stationary stochastic processes
• Distribution of Multivariate White Noise Autocorrelations
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
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