On State Space Representations of AR-Models

On State Space Representations of AR-Models

A state space representation of a (singular) AR-model is defined. It is shown, in particular, that this representation determines the model uniquely up to an isomorphism and respects its behavior. An explicit construction is presented for a ”standard” AR-model.

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Georgian mathematical journal 2000-03, Vol.7 (1), p.117-131
1. Verfasser: Lomadze, V.
Format: Artikel
Sprache:eng
Schlagworte:
AR-model
behavior
cohomology space
internal variable
linear system
locally free sheaf
polynomial matrix
state
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:A state space representation of a (singular) AR-model is defined. It is shown, in particular, that this representation determines the model uniquely up to an isomorphism and respects its behavior. An explicit construction is presented for a ”standard” AR-model.
ISSN:1072-947X
1072-9176
1572-9176
DOI:10.1515/GMJ.2000.117