Time Invariant State Space Models with Inputs

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 6 in Multivariate Time Series With Linear State Space Structure, 2016, pp 405-447 from Springer

Abstract: Abstract This chapter deals with time invariant state space models with exogenous inputs. The connection of these models with VARMAX models is explored. Canonical forms for state space models with inputs and VARMAX models are given. Several fast methods for the estimation of VARMAX and state space models with inputs are described.

Keywords: Kalman Filter; State Space Model; Lower Triangular Matrix; State Space Form; Constant Bias (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_6

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DOI: 10.1007/978-3-319-28599-3_6

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