Rational transfer function approximation (with discussion)

DOI10.1214/ss/1177013343zbMath0638.62091OpenAlexW1966822490MaRDI QIDQ1099565

E. J. Hannan

Publication date: 1987

Published in: Statistical Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/ss/1177013343

zbMATH Keywords

linear systemsKalman filterminimum description lengthAICBICcanonical correlationforgettingbalanced realizationHankel norm approximationMcMillan degreeKronecker indicesorder determinationGivens transformationslattice algorithmsrational transfer functionautoregressive-moving averageapproximation of time seriesgeneral n-dimensional stationary time seriesinfinite, block Hankel matrixLevinson-Whittle recursionn-dimensional ARMA processreal time calculations

Mathematics Subject Classification ID

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

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