The ARMA model in state space form

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.

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Year of publication:	2004
Authors:	de Jong, Piet ; Penzer, Jeremy
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 70.2004, 1, p. 119-125
Publisher:	Elsevier
Keywords:	Filter steady state Kalman filter smoother State space model Time series

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005319179