6533b836fe1ef96bd12a0ff9
RESEARCH PRODUCT
On approximate system dynamic
Zaka Ratsimalahelosubject
Hankel norm approximationsUnweighted principal componentsBalanced realizationStatisticsTime series analysis[ MATH.MATH-ST ] Mathematics [math]/Statistics [math.ST][MATH.MATH-ST] Mathematics [math]/Statistics [math.ST]Positive real lemmaState space modeloperations researchdescription
In this paper concepts and techniques from system theory are used to obtain state-space (Markovian ) models of dynamic economic processes instead of the usual VARMA models. In this respect the concept of state is reviewed as are Hankel norm approximations,and balanced realizations for stochastic models. We clarify some aspects of the balancing method for state space modelling of observed time series. This method may fail to satisfy the so-called positive real condition for stochastic processes. We us a state variance factorization algorithm which does not require us to solve the algebraic Riccati equation. We relate the Aoki-Havenner method to the Arun - Kung method.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 1996-01-01 |