Properties of the parametrization of monic ARMA systems

DOI10.1016/0005-1098(89)90122-2zbMath0674.93059OpenAlexW1976004515MaRDI QIDQ1121845

Michel Gevers, Manfred Deistler

Publication date: 1989

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0005-1098(89)90122-2

zbMATH Keywords

Kronecker indicesmonic ARMA systems

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Identification in stochastic control theory (93E12) Stochastic systems in control theory (general) (93E03)

Related Items (1)

Autoregressive models of singular spectral matrices

Cites Work

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• Invariants and canonical forms for systems structural and parametric identification
• Some properties of the parameterization of ARMA systems with unknown order
• Multivariate linear time series models
• The Properties of the Parameterization of Armax Systems and Their Relevance for Structural Estimation and Dynamic Specification
• ARMA models, their Kronecker indices and their McMillan degree
• Vector linear time series models: corrections and extensions
• Mathematical Description of Linear Dynamical Systems
• Application of a Resolvent Identity to a Linear Smoothing Problem
• The Identification Problem for Multiple Equation Systems with Moving Average Errors

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