Autoregressive models of singular spectral matrices

DOI10.1016/J.AUTOMATICA.2012.05.047MaRDI QIDQ694820zbMATH OpenOpenAlexWikidataFDO

Authors Brian D. O. Anderson, Manfred Deistler, Weitian Chen, Alexander Filler

Publication date 13 December 2012

Published in Automatica (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1016/j.automatica.2012.05.047

zbMATH Keywords

matrix fraction descriptioncanonical formautoregressive (AR) model

Mathematics Subject Classification ID

Canonical structure (93B10) Eigenvalue problems (93B60) Stochastic systems in control theory (general) (93E03)

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Cites work

• scientific article; zbMATH DE number 193126 (Why is no real title available?)
• scientific article; zbMATH DE number 1911755 (Why is no real title available?)
• ARMA models, their Kronecker indices and their McMillan degree
• Fast projection methods for minimal design problems in linear system theory
• Forecasting Using Principal Components From a Large Number of Predictors
• Generalized linear dynamic factor models: an approach via singular autoregressions
• Linear multivariable systems
• Properties of the parametrization of monic ARMA systems

Cited in

(9)

• Spectral Factorization of Rank-Deficient Rational Densities
• 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
• Identifiability of structural singular vector autoregressive models
• (Generalised) autoregressive models and their trajectories
• Cointegration in singular ARMA models
• First-order autoregressive models: A method for obtaining eigenvalues for weighting matrices
• Prediction of singular VARs and an application to generalized dynamic factor models
• Matrix representations of spectral coefficients of randomly sampled ARMA models

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