The relation of the CCA subspace method to a balanced reduction of an autoregressive model.

DOI10.1016/S0304-4076(03)00144-1zbMath1033.62080MaRDI QIDQ1421323

Wolfgang Scherrer, Anders Dahlén

Publication date: 26 January 2004

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

Canonical correlation analysisAsymptotic analysisAutoregressive-modelingMaximum entropy covariance extensionStochastically balanced form

Mathematics Subject Classification ID

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

Related Items (6)

Data-driven predictive control in a stochastic setting: a unified framework ⋮ Identification and data-driven model reduction of state-space representations of lossless and dissipative systems from noise-free data ⋮ ESTIMATING LINEAR DYNAMICAL SYSTEMS USING SUBSPACE METHODS ⋮ The role of vector autoregressive modeling in predictor-based subspace identification ⋮ Asymptotic properties of subspace estimators ⋮ Comparing the CCA Subspace Method to Pseudo Maximum Likelihood Methods in the case of No Exogenous Inputs

Cites Work

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• Canonical correlation analysis, approximate covariance extension, and identification of stationary time series
• A covariance extension approach to identification of time series
• A transformation approach to stochastic model reduction
• Lossless chain scattering matrices and optimum linear prediction: The vector case

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