The ARMA model in state space form | Macquarie University ResearchOnline

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Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.14/76284

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Title: The ARMA model in state space form
Related: Statistics and probability letters, Vol. 70, Issue 1, p.119-125
DOI: 10.1016/j.spl.2004.08.006
Publisher: Elsevier
Date: 2004
FoR/RFCD Code(s): 010200 Applied Mathematics 010400 Statistics
Author/Creator: de Jong, Piet
Author/Creator: Penzer, Jeremy
Description: 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.
Description: 7 page(s)
Subject Keyword: 010200 Applied Mathematics
Subject Keyword: 010400 Statistics
Subject Keyword: filter steady state
Subject Keyword: Kalman filter smoother
Subject Keyword: state space model
Subject Keyword: time series
Resource Type: journal article
Organisation: Macquarie University. Dept. of Actuarial Studies

Macquarie University ResearchOnline