A solution to the positivity problem in the state-space approach to modeling vector-valued time series (Q2366136): Difference between revisions

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Revision as of 17:08, 17 May 2024

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A solution to the positivity problem in the state-space approach to modeling vector-valued time series
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    A solution to the positivity problem in the state-space approach to modeling vector-valued time series (English)
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    29 June 1993
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    state-space approach
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    vector-valued time series
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    autocovariance model
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    algebraic Riccati equation
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    state-vector covariance matrix
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    Fourier transform
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    covariance model
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    positive definite solution
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    zero-lag autocovariance matrix
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    unconditional error sum of squares
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