Multivariate time series analysis with state space models
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Publication:1116606
DOI10.1016/0898-1221(89)90089-8zbMath0666.62086OpenAlexW2058355530MaRDI QIDQ1116606
Publication date: 1989
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0898-1221(89)90089-8
autoregressive processesmoving average processeslagged endogenous variablesstochastic realization theoryestimated Markov parametersestimating linear, time-invariant state space modelsmultiple time series dataobservable exogenous variablesunobservable noise
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