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May, 1987 Rational Transfer Function Approximation
E. J. Hannan
Statist. Sci. 2(2): 135-151 (May, 1987). DOI: 10.1214/ss/1177013343

Abstract

The problem considered is that of approximation to the structure of the stationary process generating a vector time series by a rational transfer function, i.e. ARMA, system. The structure of such systems and their coordinatization are discussed together with some deterministic approximation theory. Criteria on the basis of which to choose an approximant are considered. Theorems supporting such criteria and describing the properties of approximants are given. Finally some algorithms are described including algorithms for real time calculation of the estimates.

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E. J. Hannan. "Rational Transfer Function Approximation." Statist. Sci. 2 (2) 135 - 151, May, 1987. https://doi.org/10.1214/ss/1177013343

Information

Published: May, 1987
First available in Project Euclid: 19 April 2007

zbMATH: 0638.62091
MathSciNet: MR904031
Digital Object Identifier: 10.1214/ss/1177013343

Rights: Copyright © 1987 Institute of Mathematical Statistics

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Vol.2 • No. 2 • May, 1987
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