The Identification and Parameterization of Armax and State Space Forms
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Publication:4099102
DOI10.2307/1913438zbMATH Open0333.62059OpenAlexW2025046611MaRDI QIDQ4099102FDOQ4099102
Authors: E. J. Hannan 
Publication date: 1976
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1913438
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic processes (60G99)
Cited In (30)
- Modeling data revisions: measurement error and dynamics of ``true values
- Asymptotic distributions for quasi-efficient estimators in echelon VARMA models
- Dual time-frequency domain system identification
- Diagnostic checking in multivariate ARMA models with dependent errors using normalized residual autocorrelations
- Large Bayesian VARMAs
- On the use of dispersion analysis for model assessment in structural identification
- Extended Yule-Walker identification of VARMA models with single- or mixed-frequency data
- Analytical uses of Kalman filtering in econometrics — A survey
- A new look at the relationship between time-series and structural econometric models
- Multivariate portmanteau tests for weak multiplicative seasonal VARMA models
- Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
- Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models
- GP VERSUS GLS SPATIAL INDEX MODELS TO FORECAST SINGLE-FAMILY HOME PRICES
- FIML estimation of the dynamic simultaneous equations model with ARMA disturbances
- Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application
- Identification of DSGE models -- the effect of higher-order approximation and pruning
- IDENTIFICATION THEORY FOR VARYING COEFFICIENT REGRESSION MODELS
- Two canonical VARMA forms: scalar component models vis-à-vis the echelon form
- Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages
- Estimation of coefficients for multiple input system models without employing common denominator structure
- Estimation and forecasting in vector autoregressive moving average models for rich datasets
- Inference and model selection in general causal time series with exogenous covariates
- Forecasting international growth rates with leading indicators: A system- theoretic approach
- The ARMA alphabet soup: a tour of ARMA model variants
- Data-based stochastic model reduction for the Kuramoto-Sivashinsky equation
- Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms
- ON THE IDENTIFICATION AND ESTIMATION OF NONSTATIONARY AND COINTEGRATED ARMAX SYSTEMS
- Estimating structural VARMA models with uncorrelated but non-independent error terms
- Multivariate time series analysis with state space models
- ARMA models, their Kronecker indices and their McMillan degree
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