Singular arma systems: a structure theory

DOI10.3934/NACO.2019025MaRDI QIDQ2273133zbMATH OpenOpenAlexFDO

Authors Manfred Deistler

Publication date 18 September 2019

Published in Numerical Algebra, Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/naco.2019025

zbMATH Keywords

factor modelssingular VARMA

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Dynamical systems in optimization and economics (37N40) Stochastic models in economics (91B70)

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(11)

• Identification of low rank vector processes
• Spectral Factorization of Rank-Deficient Rational Densities
• The structure of multivariate AR and ARMA systems: regular and singular systems; the single and the mixed frequency case
• AR systems and AR processes: the singular case
• Prediction of singular VARs and an application to generalized dynamic factor models
• Autoregressive models of singular spectral matrices
• Identifiability of structural singular vector autoregressive models
• scientific article; zbMATH DE number 3959209 (Why is no real title available?)
• The structure of multivariate AR and ARMA systems: regular and singular systems the single -- and the mixed frequency case
• Cointegration in singular ARMA models
• Dissipative control for uncertain singular Markovian jump systems via hybrid impulsive control

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