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The arima model in state space form (2000).
| Content Provider | CiteSeerX |
|---|---|
| Author | Jong, Piet De Penzer, Jeremy |
| Abstract | This article explores an alternative state space representation for ARIMA models to that usually advocated. The alternative representation has minimal state order. More importantly, it has more convenient Kalman filter convergence properties. This convergence reveals the concrete connection between classical infinite sample representations based on lag polynomials and the recursive Kalman filter construction. |
| File Format | |
| Publisher Date | 2000-01-01 |
| Access Restriction | Open |
| Subject Keyword | Lag Polynomial Recursive Kalman Filter Construction Alternative Representation State Space Form Classical Infinite Sample Representation Arima Model Concrete Connection Convenient Kalman Filter Convergence Property Alternative State Space Representation Minimal State Order |
| Content Type | Text |
| Resource Type | Article |
