Time Invariant State Space Models

Víctor Gómez
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Víctor Gómez: Ministerio de Hacienda y Administraciones Públicas Dirección Gral. de Presupuestos, Subdirección Gral. de Análisis y P.E.

Chapter Chapter 5 in Multivariate Time Series With Linear State Space Structure, 2016, pp 323-403 from Springer

Abstract: Abstract In this chapter, time invariant state space models are considered. For stationary state space models, the Lyapunov equation, the likelihood and the covariance generating function are studied. Cointegrated VARMA models in state space form are discussed. Canonical forms for VARMA models and innovations state space forms are given. Observability, Controllability, and solutions for the discrete algebraic Riccati (DARE) equation are investigated. Fast Kalman filter algorithms are presented.

Keywords: Kalman Filter; State Space Model; Positive Semidefinite; Lyapunov Equation; State Space Form (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-28599-3_5

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DOI: 10.1007/978-3-319-28599-3_5

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