Discussion of ‘two complementary representations of multiple time series in state-space innovation forms’

Two complementary representations of mul

Two complementary representations of multiple time series in state-space innovation forms

✍ Masanao Aoki 📂 Article 📅 1994 🏛 John Wiley and Sons 🌐 English ⚖ 980 KB

## 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