Model Order Estimation of a Multivariable Stochastic Process

DOI10.1080/03610910500308123MaRDI QIDQ5719262zbMATH OpenOpenAlexFDO

Authors Joseph Lardies, Zaka Ratsimalahelo

Publication date 18 January 2006

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610910500308123

zbMATH Keywords

block Hankel matrixmultivariable processorder estimationstate space model

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Recommendations

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Cites work

• Estimating the dimension of a model
• scientific article; zbMATH DE number 961607 (Why is no real title available?)
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Model specification tests for balanced representation state space models
• Order estimation for subspace methods
• State space modeling of multiple time series
• Structure and order estimation of multivariable stochastic processes

Cited in

(8)

• Estimating the system order by subspace methods
• Structure and order estimation of multivariable stochastic processes
• Model order determination for state-space control design methods
• scientific article; zbMATH DE number 3923919 (Why is no real title available?)
• Identification of Minimal Order State Space Models from Stochastic Input-Output Data
• scientific article; zbMATH DE number 464830 (Why is no real title available?)
• scientific article; zbMATH DE number 786549 (Why is no real title available?)
• A minimum-eigenvalue ratio test of the product-moment matrix for time-series model-order estimates

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