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Solving Rational Eigenvalue Problems via Linearization

✍ Scribed by Su, Yangfeng; Bai, Zhaojun


Book ID
118211948
Publisher
Society for Industrial and Applied Mathematics
Year
2011
Tongue
English
Weight
236 KB
Volume
32
Category
Article
ISSN
0895-4798

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An eigenvalue method of undetermined coe
✍ Peter A. Zadrozny πŸ“‚ Article πŸ“… 1998 πŸ› Elsevier Science 🌐 English βš– 189 KB

## R &IID(0, K ) is an m;1 vector of reduced-form disturbances. The paper derives an analytical eigenvalue method for computing the autoregressive, moving-average, and exogenous parts of the reduced-form solution of a model in the above form. The method routinely handles expectations conditional o