haku: @indexterm structural analysis / yhteensä: 146
viite: 102 / 146
| Tekijä: | Grillenzoni, C. |
| Otsikko: | Simultaneous transfer functions versus vector ARMA models |
| Lehti: | Journal of Forecasting
1991 : SEP, VOL. 10:5, p. 477-499 |
| Asiasana: | TIME SERIES ESTIMATION ALGORITHMS MODELS MATHEMATICAL MODELS STATISTICAL METHODS STRUCTURAL ANALYSIS |
| Kieli: | eng |
| Tiivistelmä: | The class of transfer function models /TF/ as an open-loop multivariate generalization of the univariate autoregressive moving average /ARMA/ scheme has been extended. Two classes of multiple time series models are compared that are usually believed to be equivalent: the vector ARMA model and the system of simultaneous transfer functions /STF/. The mathematical structure of the two schemes, their properties of stability, structural identification and realization are analyzed. Algorithms of order identification and parameter estimation are derived, following the approach of stochastic approximation. The superiority of the STF model is well established. |
SCIMA