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

✍ Scribed by Masanao Aoki

• Publisher: John Wiley and Sons
• Year: 1994
• Tongue: English
• Weight: 980 KB
• Volume: 13
• Category: Article
• ISSN: 0277-6693
• DOI: 10.1002/for.3980130203

✦ Synopsis

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 realization theory. A scheme for iterative improvements of the initial estimates is also suggested.