Linear time series variance

DOI10.1080/00207178808906096MaRDI QIDQ3777274zbMATH OpenOpenAlexFDO

Authors Ky M. Vu

Publication date 1988

Published in International Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207178808906096

zbMATH Keywords

low order in autoregressive parametersmultivariable time seriesstate space modelvariance of a linear stationary time series

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(1)

• Determination of the penalty constant for discrete constrained linear quadratic gaussian controller design

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