Nội dung được dịch bởi AI, chỉ mang tính chất tham khảo
Phân tích đồng liên kết với các mô hình không gian trạng thái
Tóm tắt
Bài viết này trình bày và minh họa các kết quả phát triển cho phân tích đồng liên kết với các mô hình không gian trạng thái được thực hiện bởi Bauer và Wagner trong một loạt các tài liệu. Các quá trình gốc đơn vị, đồng liên kết và đồng liên kết đa thức được định nghĩa. Dựa trên những định nghĩa này, phần lớn của bài viết thảo luận về cách mà các mô hình không gian trạng thái, tương đương với các mô hình VARMA, có thể được sử dụng hiệu quả cho phân tích đồng liên kết. Bằng cách chi tiết những trường hợp có liên quan nhất cho các ứng dụng thực nghiệm, các trường hợp I(1), tần số đa I(1) và I(2), một biểu diễn chuẩn tắc được phát triển và sau đó một số kết quả thống kê hiện có được thảo luận ngắn gọn.
Từ khóa
#đồng liên kết #mô hình không gian trạng thái #quá trình gốc đơn vị #mô hình VARMA #ứng dụng thực nghiệmTài liệu tham khảo
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