Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes

Cites Work

Cited In (53)

Current developments in time series modelling
ARMA identification
On a search procedure for the optimal AR-MA order
Mixing properties of ARMA processes
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A recursive approach to time-series analysis for multi-variable systems
SEM modeling with singular moment matrices Part III: GLS estimation
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Analysis of cointegrated VARMA processes
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Identification of stochastic linear systems in presence of input noise
Some mixing properties of time series models
Forecasting with incomplete data
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Nonparametric prediction by conditional median and quantiles
Model specification and selection for multivariate time series
Extended Yule-Walker identification of VARMA models with single- or mixed-frequency data
Recursive solution methods for dynamic linear rational expectations models
Analytical uses of Kalman filtering in econometrics — A survey
On fault detectability and isolability
Detection and diagnosis of changes in the eigenstructure of nonstationary multivariable systems
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The impact of information timeliness on the predictability of stock and futures returns: An application of vector models
A FLEXIBLE STATE SPACE MODEL AND ITS APPLICATIONS
Subspace-based fault detection algorithms for vibration monitoring
Nonstationary dynamic factor analysis
Model reduction via the internally balanced state space representation
An empirical study on the parsimony and descriptive power of TARMA models
\(L^{1}\)-convergence of smoothing densities in non-parametric state space models
A NOTE ON NON-STATIONARITY AND CANONICAL ANALYSIS OF MULTIPLE TIME SERIES MODELS
On a statistic useful in dimensionality reduction in multivariable linear stochastic system
On the identification of ARMA echelon-form models
Temporal aggregation of volatility models
Nonparametric forecasting: a comparison of three kernel-based methods
Covariance matrix computation of the state variable of a stationary Gaussian process
A review of k-step-ahead predictors
Analysis and simulation of strong earthquake ground motions using ARMA models
SEM Modeling with Singular Moment Matrices Part I: ML-Estimation of Time Series
Improved estimates of the parameters of state space time series models
Observable trend-projecting state-space models
Forecasting international growth rates with leading indicators: A system- theoretic approach
On the Ergodicity of First‐Order Threshold Autoregressive Moving‐Average Processes
ON THE INVERTIBILITY OF MULTIVARIATE LINEAR PROCESSES
STATE-DEPENDENT MODELS: A GENERAL APPROACH TO NON-LINEAR TIME SERIES ANALYSIS
Multivariate time series analysis with state space models
ORDERS AND INITIAL VALUES OF NON-STATIONARY MULTIVARIATE ARMA MODELS
ARMA models, their Kronecker indices and their McMillan degree
A UNIFIED APPROACH TO ARMA MODEL IDENTIFICATION AND PRELIMINARY ESTIMATION
Markovian representation of a bilinear time series model and maximum likelihood estimation of the parameters
Bilinear Markovian representation and bilinear models
The Relationship Between the Beveridge–Nelson Decomposition and Exponential Smoothing
Granger non causality and predictor spaces

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