A Note on the Specification and Estimation of ARMAX Systems

Poskitt, D.S. (2005) A Note on the Specification and Estimation of ARMAX Systems. Journal of Time Series Analysis, 26 (2). pp. 157-183. ISSN 0143-9782

Abstract

Metadata

Authors/Creators:
  • Poskitt, D.S.
Keywords: ARMAX model • consistency • echelon canonical form • efficiency • estimation • identification • Kronecker invariants • least squares • selection criterion • structure determination • subspace algorithm
Institution: The University of York
Academic Units: The University of York > Economics and Related Studies (York)
Depositing User: York RAE Import
Date Deposited: 03 Apr 2009 11:19
Last Modified: 03 Apr 2009 11:19
Published Version: http://dx.doi.org/10.1111/j.1467-9892.2005.00397.x
Status: Published
Publisher: Blackwell Publishing Ltd
Identification Number: 10.1111/j.1467-9892.2005.00397.x

Share / Export

Statistics