The ARMA model in state space form

Piet de Jong and Jeremy Penzer

Statistics & Probability Letters, 2004, vol. 70, issue 1, 119-125

Abstract: This 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.

Keywords: Filter; steady; state; Kalman; filter; smoother; State; space; model; Time; series (search for similar items in EconPapers)
Date: 2004
References: View complete reference list from CitEc
Citations: View citations in EconPapers (15)

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