From general state-space to VARMAX models
نویسندگان
چکیده
منابع مشابه
From general state-space to VARMAX models
We propose two new algorithms to go from any state-space model to an output equivalent and invertible Vector AutoRegressive Moving Average model with eXogenous regressors (VARMAX). As the literature shows how to do the inverse transformation, these results imply that both representations, statespace and VARMAX, are equally general and freely interchangeable. These algorithms are useful to solve...
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ژورنال
عنوان ژورنال: Mathematics and Computers in Simulation
سال: 2012
ISSN: 0378-4754
DOI: 10.1016/j.matcom.2012.01.001