Identification of Refined ARMA Echelon F
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Saฤฑฬd Nsiri; Roch Roy
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Article
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1996
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Elsevier Science
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English
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In the present article, we are interested in the identification of canonical ARMA echelon form models represented in a ``refined'' form. An identification procedure for such models is given by Tsay (J. Time Ser. Anal. 10 (1989), 357 372). This procedure is based on the theory of canonical analysis.