AR systems and AR processes: the singular case

DOI10.4310/CIS.2011.V11.N3.A2MaRDI QIDQ359813zbMATHOpenAlexFDO

Authors Manfred Deistler, Alexander Filler, B. Funovits

Publication date 22 August 2013

Published in Communications in Information and Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4310/cis.2011.v11.n3.a2

zbMATH Keywords

dynamic factor analysiscorresponding Yule-Walker equationsparticular canonical formpossible non-uniquenesssingular case ar processeswhite noise innovation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Multivariable systems, multidimensional control systems (93C35) Stochastic systems in control theory (general) (93E03)

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Cited in

(10)

• Singular arma systems: a structure theory
• The structure of multivariate AR and ARMA systems: regular and singular systems; the single and the mixed frequency case
• Multivariate AR systems and mixed frequency data: G-identifiability and estimation
• Autoregressive models of singular spectral matrices
• Subordinated continuous-time AR processes and their application to modeling behavior of mechanical system
• The structure of multivariate AR and ARMA systems: regular and singular systems the single -- and the mixed frequency case
• Identifiability of structural singular vector autoregressive models
• Singular linear behaviors and their AR-representations
• Solutions of Yule-Walker equations for singular AR processes
• Prediction of singular VARs and an application to generalized dynamic factor models

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