AR systems and AR processes: the singular case

DOI10.4310/CIS.2011.V11.N3.A2zbMATH Open1271.93137OpenAlexW2328607819MaRDI QIDQ359813FDOQ359813

Authors: Manfred Deistler, Alexander Filler, B. Funovits 

Publication date: 22 August 2013

Published in: Communications in Information and Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/cis.2011.v11.n3.a2

Recommendations

• Singular arma systems: a structure theory
• The structure of multivariate AR and ARMA systems: regular and singular systems the single -- and the mixed frequency case
• The structure of multivariate AR and ARMA systems: regular and singular systems; the single and the mixed frequency case
• Solutions of Yule-Walker equations for singular AR processes
• Singular linear behaviors and their AR-representations
• On the symmetric bilateral AR processes
• scientific article; zbMATH DE number 3913497
• Continuous-time ARMA processes

zbMATH Keywords

dynamic factor analysiscorresponding Yule-Walker equationsparticular canonical formpossible non-uniquenesssingular case ar processeswhite noise innovation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Multivariable systems, multidimensional control systems (93C35) Stochastic systems in control theory (general) (93E03)

Cited In (10)

• The structure of multivariate AR and ARMA systems: regular and singular systems; the single and the mixed frequency case
• Subordinated continuous-time AR processes and their application to modeling behavior of mechanical system
• Prediction of singular VARs and an application to generalized dynamic factor models
• Solutions of Yule-Walker equations for singular AR processes
• Multivariate AR systems and mixed frequency data: G-identifiability and estimation
• Identifiability of structural singular vector autoregressive models
• Autoregressive models of singular spectral matrices
• The structure of multivariate AR and ARMA systems: regular and singular systems the single -- and the mixed frequency case
• Singular arma systems: a structure theory
• Singular linear behaviors and their AR-representations

This page was built for publication: AR systems and AR processes: the singular case

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q359813)