A STATE SPACE TIME SERIES MODELLING METHOD WITHOUT INDIVIDUAL DETRENDING

DOI10.1111/J.1467-9892.1991.TB00065.XMaRDI QIDQ3197159zbMATH OpenOpenAlexFDO

Authors Masanao Aoki

Publication date 1991

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1991.tb00065.x

zbMATH Keywords

dynamic aggregationsingular-value decomposition of the Hankel matrixstate space methodtime series modelstwo-step sequential procedure

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Controllability and Observability in Multivariable Control Systems
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• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• scientific article; zbMATH DE number 3257775 (Why is no real title available?)
• Invariance principles for dependent variables
• Multiple Time Series Regression with Integrated Processes
• Notes on economic time series analysis: system theoretic perspectives
• ORDER DETERMINATION OF MULTIVARIATE AUTOREGRESSIVE TIME SERIES WITH UNIT ROOTS
• Seasonal integration and cointegration
• The invariance principle for ϕ-mixing sequences
• The Parameter Inference for Nearly Nonstationary Time Series
• Time Series Regression with a Unit Root

Cited in

(3)

• A two-step state space time series modeling method
• A new state-space methodology to disaggregate multivariate time series
• A MATRIX-FREE METHOD FOR SPATIAL-TEMPORAL GAUSSIAN STATE-SPACE MODELS

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