Identifiability conditions for Generalised STARMA models
Tóm tắt
In this paper, starting from some well known results for the structural identifiability of VARMA models of given maximum time lagsp andq, we derive parametric conditions which guarantee the identification of Generalized STARMA models.
Tài liệu tham khảo
Barnett S. (1971),Matrices in control theory, Van Nostrand Reinold Company, London.
Deistler M. (1985), «General Structure and Parametrization of ARMA and State-Space Systems and its Relation to Statistical Problems», Handbook of Statistics, vol. 5.
Di Giacinto V. (1994), «Su una generalizzazione dei modelli spazio-temporali autoregressivi media mobile (STARMAG)»,Atti della XXXVII Riunione Scientifica SIS, Sanremo, aprile 1994, vol. II.
Hannan E. J. (1969), «The identification of vector mixed autoregressive-moving average systems«,Biometrika, 56, pp. 223–225.
Hannan E. J. (1971), «The identification problem for multiple equation systems with moving average errors»,Econometrica, 39, n. 5, pp. 751–765.
Lütkepol H. (1991),Introduction to Multiple Time Series Analysis, Springer-Verlag, Berlin.
Rizzi, A. (1988),Il linguaggio delle matrici, NIS, Roma.
Terzi, S. (1995), «Maximum likelihood estimation of a generalized STAR(p, l p ) model»,Journal of the Italian Statistical Society, vol. 4, no 3, 1995.