Modeling economic time series by forward and backward state space innovation models and IV estimators

DOI10.1016/0377-2217(94)90264-XzbMath0810.90022OpenAlexW1991501324MaRDI QIDQ1330532

Masanao Aoki

Publication date: 20 April 1995

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0377-2217(94)90264-x

zbMATH Keywords

rational spectraweakly stationary stochastic processoutput statisticsbackward innovationcovariance filterIV estimators

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cites Work

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• Instrumental variable methods for system identification
• On the optimal control of Markov objects
• Optimization of stochastic systems. Topics in discrete-time systems
• On the structure of state-space models for discrete-time stochastic vector processes
• State space modeling of multiple time series
• Stochastic Realization and Invariant Directions of the Matrix Riccati Equation
• The Lindeberg-Levy Theorem for Martingales

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