Some properties of the parameterization of ARMA systems with unknown order

M. Deistler and E. J. Hannan

Journal of Multivariate Analysis, 1981, vol. 11, issue 4, 474-484

Abstract: The first section of the paper introduces known theory relating to the description of the set of all ARMA structures via the concept of order, n, and the coordinatisation of all structures, M(n), of given order. The coordinates most easily used are related to the state space representation and in the first section these are related to coordinates obtained from the ARMA representation. In the second section geometric and topological properties of M(n) are considered. For example, the closure of M(n) is just the union of all M(j), j

Keywords: ARMA; system; order; canonical; forms; manifold; coordinate; neighbourhood; coordinates; topological; properties; dimension; of; equivalence; classes (search for similar items in EconPapers)
Date: 1981
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Citations: View citations in EconPapers (8)

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