Some results on the identification and estimation of vector ARMAX processes
Poskitt, D. S.
10.4225/03/5934cf23c9dda
https://monash.figshare.com/articles/Some_results_on_the_identification_and_estimation_of_vector_ARMAX_processes/5072959
This paper addresses the problem of identifying echelon canonical forms for a vector autoregressive moving average model with exogenous variables using finite algorithms. For given values of the Kronecker indices a method for estimating the structural parameters of a model using ordinary least squares calculations is presented. These procedures give rise, rather naturally, to a technique for the determination of the structural indices based on the use of conventional model selection criteria. A detailed analysis of the statistical properties of the estimation and identification procedures is given and some evidence on the practical significance of the results obtained is also provided. Modifications designed to improve the performance of the methods are presented. Some discussion of the practical significance of the results obtained is also provided.
2017-06-05 03:25:22
Least squares
Kronecker invariants
Structure determination
ARMAX model
monash:2351
Echelon canonical form
Efficiency
Identification
2004
Consistency
Selection criterion
Subspace algorithm
Estimation
1959.1/2351