The statistical theory of linear systems

zbMATH Open1239.01122MaRDI QIDQ2885002FDOQ2885002

Authors: E. J. Hannan, Manfred Deistler 

Publication date: 21 May 2012

Published in: Classics in Applied Mathematics (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear systems in control theory (93C05) Collected or selected works; reprintings or translations of classics (01A75) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to systems and control theory (93-01)

Cited In (24)

• Cointegrated continuous-time linear state-space and MCARMA models
• Identifiability and estimation of possibly non-invertible SVARMA models: the normalised canonical WHF parametrisation
• Formal and non-Archimedean structures of dynamic systems on manifolds
• Necessary and sufficient conditions for the identifiability of observation‐driven models
• The structure of multivariate AR and ARMA systems: regular and singular systems; the single and the mixed frequency case
• Identifiability of structural singular vector autoregressive models
• Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies
• Exponential excitations for effective identification of Wiener system
• On partial-sum processes of ARMAX residuals
• Estimation of functional ARMA models
• Simultaneous inference for autocovariances based on autoregressive sieve bootstrap
• Strongly consistent model selection for general causal time series
• On consistency for time series model selection
• On the sensitivity of Granger causality to errors-in-variables, linear transformations and subsampling
• Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown
• Inverse covariance operators of multivariate nonstationary time series
• Cointegration in singular ARMA models
• Inference and model selection in general causal time series with exogenous covariates
• Generalised cepstral models for the spectrum of vector time series
• A contribution to the statistical theory of linear graduation
• General Hannan and Quinn criterion for common time series
• Title not available (Why is that?)
• The linear systems approach to linear rational expectations models
• Generalized autocovariance matrices for multivariate time series

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