2 COMPLEMENTARY REPRESENTATIONS OF MULTIPLE TIME-SERIES IN STATE-SPACE INNOVATION FORMS

被引：6

作者：

AOKI, M

机构：

来源：

JOURNAL OF FORECASTING | 1994年 / 13卷 / 02期

关键词：

STATE SPACE; INNOVATION MODEL; HANKEL MATRIX;

D O I：

10.1002/for.3980130203

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper discusses two alternative innovation representations (forward and backward) of a state space model of a multivariate weakly stationary time series, and suggests estimators of system matrices and innovation noise covariances which are alternative to these based on stochastic realization theory. A scheme for iterative improvements of the initial estimates is also suggested.

引用

页码：69 / 90

页数：22