Identifiability in Multivariate Dynamic Linear Errors-in-Variables Models

DOI10.2307/2290209zbMath0781.62141OpenAlexW3123817325MaRDI QIDQ4031054

Eugen Nowak

Publication date: 1 April 1993

Full work available at URL: https://doi.org/10.2307/2290209

zbMATH Keywords

errors in variablesmoving averagedynamic linear modelscovariance structuressecond-order momentscausality constraintsblock identifiable ARMA processeslatent stationary inputs and outputsmultivariate causal transfer function systemstime series structuresvector autoregressive moving average processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear inference, regression (62J99) Identification in stochastic control theory (93E12)

Related Items (5)

Identification of multivariable dynamic errors-in-variables system with arbitrary inputs ⋮ The Frisch scheme in multivariable errors-in-variables identification ⋮ Identifiability of errors in variables dynamic systems ⋮ Errors-in-variables methods in system identification ⋮ The identification of multivariate linear dynamic errors-in-variables models

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