Some properties of the parameterization of ARMA systems with unknown order

DOI10.1016/0047-259X(81)90090-7zbMath0483.62077OpenAlexW2087211681MaRDI QIDQ1163327

E. J. Hannan, Manfred Deistler

Publication date: 1981

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0047-259x(81)90090-7

zbMATH Keywords

geometric propertiescanonical formstransfer functionstopological propertiesaffine structuremanifold structurecoordinate neighbourhooddimension of equivalence classes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) System identification (93B30) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Related Items (17)

Topological considerations for autoregressive systems with fixed Kronecker indices ⋮ Asymptotic distributions for quasi-efficient estimators in echelon VARMA models ⋮ The behaviour of the Lagrangian multiplier test in testing the orders of an ARMA-model ⋮ A partial compactification for linear systems ⋮ ARMA models, their Kronecker indices and their McMillan degree ⋮ SOME ASPECTS OF THE PERFORMANCE OF DIAGNOSTIC CHECKS IN BIVARIATE TIME SERIES MODELS ⋮ Properties of the parametrization of monic ARMA systems ⋮ Structural identification of linear multivariable systems using overlapping forms: a new parametrization ⋮ The ARMA alphabet soup: a tour of ARMA model variants ⋮ Estimating the dimension of a linear system ⋮ Local parametrizations of ARMAX systems with nonlinear restrictions ⋮ Extended Yule-Walker identification of VARMA models with single- or mixed-frequency data ⋮ Linear bootstrap methods for vector autoregressive moving-average models ⋮ The common structure of parametrizations for linear systems ⋮ Uniquely identifiable state-space and ARMA parametrizations for multivariable linear systems ⋮ Estimation of structure by minimum description length ⋮ New developments for matrix fraction descriptions: a fully-parametrised approach

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• Vector linear time series models
• Vector linear time series models: corrections and extensions
• Mathematical Description of Linear Dynamical Systems
• The Representation of Functionals of Brownian Motion by Stochastic Integrals

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