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An algebraic analysis using Matrix Padé Approximation to improve the choice of certain parameter in Scalar Component Models

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Author Info

  • Celina Pestano-Gabino

    ()

  • Concepción González-Concepción

    ()

  • María Candelaria Gil-Fariña

    ()

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    Abstract

    This paper presents an algebraic analysis using Matrix Padé Aproximation to improve the identification stage of the proposal in [6] on Scalar Component Models, specifically as it refers to the choice of a parameter they denote h. The original methodology in [6] is based on the construction and interpretation of a table whose elements are related to the singular value zero of certain relevant matrices in the process. We propose the alternative use of what we call a Ranks Table and the sure overall orders concept instead of the so-called overall orders. Ranks Table information allows for the improved interpretation and implication of the results and of potential computational and statistical properties.

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    File URL: http://e-archivo.uc3m.es/bitstream/10016/6844/1/ws100803.pdf
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    Bibliographic Info

    Paper provided by Universidad Carlos III, Departamento de Estadística y Econometría in its series Statistics and Econometrics Working Papers with number ws100803.

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    Date of creation: Feb 2010
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    Handle: RePEc:cte:wsrepe:ws100803

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    Related research

    Keywords: VARMA models; Scalar Component Models (SCM); Identification Stage; Sure overall orders; Corank and Rank Tables; Matrix Padé Approximation;

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