2 CANONICAL-FORMS FOR VECTOR ARMA PROCESSES

被引：0

作者：

TSAY, RS ^{[1
]}

机构：

[1] UNIV CHICAGO,GRAD SCH BUSINESS,CHICAGO,IL 60637

来源：

STATISTICA SINICA | 1991年 / 1卷 / 01期

关键词：

ECHELON FORM; HANKEL MATRIX; KRONECKER INDEX; SCALAR COMPONENT MODELS; VECTOR ARMA MODELS;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper discusses canonical forms of vector ARMA representations for a linear, time-invariant system. Both the Kronecker index and the scalar-component model (SCM) approaches are presented and discussed. The Kronecker index approach results in an Echelon form. For the SCM approach, a canonical SCM representation is introduced. The relation between Kronecker indices and orders of scalar component models is also established.

引用

页码：247 / 269

页数：23

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