Two complementary representations of mul
β
Masanao Aoki
π
Article
π
1994
π
John Wiley and Sons
π
English
β 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