In this paper concepts and techniques from system theory will be used to obtain state-space (Markovian) models of dynamic economic processes instead of the usual ARMA-models. In this respect the concept of state will be reviewed and also Hankel factorisation, Hankel norm approximation and...

I: Introduction -- II: Elements of System Theory -- 2.1 Definitions of Dynamic Input-Output and State Space Models -- 2.2 Observability, Reconstructability and Controllability -- 2.3 Realization Theory -- 2.4 Canonical Forms -- 2.5 Stability -- A: Modelling, Filtering and Identification -- III:...

This paper employs concepts from information theory for choosing the dimension of a data set. We propose a relative information measure connected to Kullback–Leibler numbers. By ordering the series of the data set according to the measure, we are able to obtain a subset of a data set that is...