AR systems and AR processes: the singular case

Manfred Deistler, Alexander Filler, Bernd Funovits

Forskningsoutput: TidskriftsbidragArtikelVetenskapligPeer review

Sammanfattning

We deal with singular multivariate AR systems and the corresponding AR processes. An AR system is called singular if the variance of the white noise innovation is singular. AR processes are the stationary solutions of AR systems. In the singular case AR processes consist of a linearly regular and a linearly singular component. The corresponding Yule-Walker equations and in particular the possible non-uniqueness of their solutions are discussed. A particular canonical form is presented. Singular AR systems naturally arise as models for latent variables in dynamic factor analysis.
Originalspråkengelska
TidskriftCommunications in Information and Systems
Volym11
Utgåva3
Sidor (från-till)225-236
Antal sidor12
ISSN1526-7555
DOI
StatusPublicerad - 2011
Externt publiceradJa
MoE-publikationstypA1 Tidskriftsartikel-refererad

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