On the identification of multivariate correlated unobserved components models
type: Item
instance of: scholarly article
title: On the identification of multivariate correlated unobserved components models
zbMATH Open document ID: 1398.62250
author: Carsten Trenkler
author: Enzo Weber
published in: Economics Letters
publication date: 2018-08-31T00:00:00Z
full work available at URL: Trenkler und Weber 15-12.pdf
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62H12
Mathematics Subject Classification ID: 62M20
zbMATH DE Number: 6929966
zbMATH Keywords: unobserved components models
zbMATH Keywords: identification
zbMATH Keywords: VARMA
MaRDI profile type: Publication
OpenAlex ID: W2184680757
cites work: IDENTIFICATION OF UNOBSERVED COMPONENTS MODELS
cites work: Linear transformations of vector ARMA processes
cites work: Q4716820
cites work: Q5312885
DOI: 10.1016/J.ECONLET.2015.11.009
description: scientific article; zbMATH DE number 6929966