An Alternative to Transfer Function Forecasting Based on Subspace Methods

DOI10.1080/03610918.2010.521275MaRDI QIDQ3072417zbMATH OpenOpenAlexFDO

Authors Víctor Gómez, Félix Aparicio Pérez, Ángel Sánchez-Ávila

Publication date 3 February 2011

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2010.521275

zbMATH Keywords

ARMAXforecastingKalman filterstate space modelsubspace methodstransfer function

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cites work

• Elements of multivariate time series analysis.
• Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 3997615 (Why is no real title available?)
• scientific article; zbMATH DE number 3267825 (Why is no real title available?)

Cited in

(2)

• scientific article; zbMATH DE number 3848500 (Why is no real title available?)
• Forecasting linear dynamical systems using subspace methods

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