When are two multivariate random processes indistinguishable

DOI10.1007/S10878-006-7907-1MaRDI QIDQ2369971zbMATHOpenAlexFDO

Authors Demetrios Kazakos, Sam Makki

Publication date 21 June 2007

Published in Journal of Combinatorial Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10878-006-7907-1

zbMATH Keywords

Gaussian modelsFrequency domainStochastic processesSignal

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Non-Markovian processes: estimation (62M09) System identification (93B30)

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Cited in

(5)

• Identification of the dynamic shock-error model with autocorrelated errors
• STRUCTURAL, DYNAMIC MODELLING IN UNOBSERVABLE SPACES OF COVARIANCE-STATIONARY STOCHASTIC PROCESSES
• scientific article; zbMATH DE number 4159914 (Why is no real title available?)
• Identification of low rank vector processes
• Necessary and sufficient conditions for uniqueness of the minimum in Prediction Error Identification

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