On State Space Representations of AR-Models

A state space representation of a (singular) AR-model is defined. It is shown, in particular, that this representation determines the model uniquely up to an isomorphism and respects its behavior. An explicit construction is presented for a ”standard” AR-model.

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Bibliographic Details
Published inGeorgian mathematical journal Vol. 7; no. 1; pp. 117 - 131
Main Author Lomadze, V.
Format Journal Article
LanguageEnglish
Published Walter de Gruyter GmbH & Co. KG 01.03.2000
Subjects
AR-model
behavior
cohomology space
internal variable
linear system
locally free sheaf
polynomial matrix
state
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Summary:A state space representation of a (singular) AR-model is defined. It is shown, in particular, that this representation determines the model uniquely up to an isomorphism and respects its behavior. An explicit construction is presented for a ”standard” AR-model.
Bibliography:gmj.2000.117.pdf
ArticleID:GMJ.7.1.117
istex:701FA9252796653F14BB1EE7245FFE87C0F379D8
ark:/67375/QT4-HVK838GG-4
ISSN:1072-947X
1572-9176
DOI:10.1515/GMJ.2000.117