Casals, J.; García-Hiernaux, A.; Jerez, M. - In: Mathematics and Computers in Simulation (MATCOM) 82 (2012) 5, pp. 924-936
We propose two new algorithms to go from any state-space model to an output equivalent and invertible Vector AutoRegressive Moving Average model with eXogenous regressors (VARMAX). As the literature shows how to do the inverse transformation, these results imply that both representations,...