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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Published in | Georgian mathematical journal Vol. 7; no. 1; pp. 117 - 131 |
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Main Author | |
Format | Journal Article |
Language | English |
Published |
Walter de Gruyter GmbH & Co. KG
01.03.2000
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Subjects | |
Online Access | Get full text |
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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. |
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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 |