A method for approximate representation of vector-valued time series and its relation to two alternatives-Reference-Cited by-同舟云学术

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A method for approximate representation of vector-valued time series and its relation to two alternatives

Published:1989-10 Issue:2 Volume:42 Page:181-199
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Aoki Masanao,Havenner Arthur

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference39 articles.

1. Stochastic theory of minimal realization;Akaike;IEEE Transactions on Automatic Control,1974

2. Markovian representation of stochastic processes by canonical variables;Akaike;SIAM Journal of Control and Optimization,1975

3. Canonical correlation analysis of time series and the use of an information criterion;Akaike,1976

4. Recursive algorithm for spectral factorization;Anderson;IEEE Transactions on Circuits and Systems,1974

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