1. On approximate systems identification
- Creator:
- Ratsimalahelo, Zaka
- Format:
- bez média and svazek
- Type:
- model:article and TEXT
- Subject:
- time series analysis, stata space models, Hankel norm approximations, balanced realization, positive real lemma, and unweighted principal components
- Language:
- English
- Description:
- In this paper, concepts and techniques of the system theory are used to obtain state-space (Markovian) models of dynamic economic processes instead of the usual VARMA models. In this respect, the concept of stata is reviewed as are Hankel norm approximations and balanced realizations for stochastic models. We clarify some aspects of the balancing method for state space modelling of the observed time series. This method may fail to satisfy the so-called positive real condition for stochastic processes. We use a statě variance factorization algorithm, which does not require us to solve the algebraic Riccati equation. We relate the Aoki-Havenner method to the Arun-Kung method.
- Rights:
- http://creativecommons.org/publicdomain/mark/1.0/ and policy:public