Some Results on the Identification and Estimation of Vector ARMAX Processes
Year of publication: |
2004-05
|
---|---|
Authors: | Poskitt, D.S. |
Institutions: | Department of Econometrics and Business Statistics, Monash Business School |
Subject: | ARMAX model | consistency | echelon canonical form | efficiency | estimation | identification | Kronecker invariants | least squares | selection criterion | structure determination | subspace algorithm |
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