The ARMA model in state space form
AbstractThis article explores alternative state space representations for ARMA models. We advocate representations that have minimal state order and appealing Kalman filter steady state properties. We derive expressions for smoother output and describe concrete connections to classical infinite sample representations.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 70 (2004)
Issue (Month): 1 (October)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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