Multivariable ARMA systems and practicable calculations
PublisherUniversitat Politècnica de Barcelona. Centre de Càlcul
Rights accessOpen Access
The representation of ARMA systems in canonical state space is described and the idea of order and the manifold structure of spaces of systems are introduced. Some neighbourhood systems are described and related to other systems of structures. Algorithms for maximum likelihood estimation are discussed and related to stability of the system. An algorithm for order estimation is briefly discussed and also some asymptotic theory.
ISSN0210-8054 (versió paper)