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An Improved State Space Representation for Cyclical Time Series

✍ Scribed by John Haywood and Granville Tunnicliffe Wilson


Book ID
124305128
Publisher
Oxford University Press
Year
2000
Tongue
English
Weight
309 KB
Volume
87
Category
Article
ISSN
0006-3444

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## Abstract 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 r