VAR based state-space structures: realization, statistics and spectral analysis

DOI10.1007/978-3-642-19730-7_21MaRDI QIDQ4899764zbMATH OpenOpenAlexFDO

Authors Vasilis K. Dertimanis, D. Koulocheris

Publication date 9 January 2013

Published in Informatics in Control Automation and Robotics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-19730-7_21

zbMATH Keywords

covariance functiondispersion analysisestimationGreen functionspectral densitystate spacetime seriesvector autoregressive

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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