Generation Of Time Series Models With Given Spectral Properties
We give a method for generation of periodically correlated and multivariate ARIMA models whose dynamic characteristics are partially or fully specified in terms of spectral poles and zeroes or their equivalents in the form of eigenvalues/eigenvectors of associated model matrices. Our method is based on the spectral decomposition of multi-companion matrices and their factorization into products of companion matrices. Generated models are needed in simulation but may also be used in estimation, e.g. to set sensible initial values of parameters for nonlinear optimization. Copyright 2009 The Authors. Journal compilation 2009 Blackwell Publishing Ltd
Year of publication: |
2009
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Authors: | Boshnakov, Georgi N. ; Iqelan, Bisher M. |
Published in: |
Journal of Time Series Analysis. - Wiley Blackwell, ISSN 0143-9782. - Vol. 30.2009, 3, p. 349-368
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Publisher: |
Wiley Blackwell |
Saved in:
Saved in favorites
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