Estimation and structure determination of multivariate input output systems
AbstractProblems associated with the parametric modelling of multivariate input output systems are addressed in this paper. A three stage estimation procedure is proposed, each stage being implemented by means of straighforward closed form multivariate least squares regressions. The statistical properties of the estimates obtained are presented and asymptotic efficiency is achieved. Criteria on the basis of which an appropriate structure can be chosen are advanced and a strategy for the selection of the true or approximating specification is discussed. Consistency when the system can be finitely parameterised is shown.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 33 (1990)
Issue (Month): 2 (May)
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
If references are entirely missing, you can add them using this form.