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Bank of Canada RSS Feedsen2024-03-28T20:39:29+00:00State Space and ARMA Models: An Overview of the Equivalence
https://www.bankofcanada.ca/1993/03/working-paper-1993-00/
In this paper known results about the equivalence of state space and autoregressive moving-average models with exogenous inputs (ARMAX) (including vector auto-regressive or VAR models) are reviewed. While most of these results are not new, no single reference appears to bring together several important related points.1993-03-01T10:00:17+00:00enState Space and ARMA Models: An Overview of the Equivalence1993-03-01Working Paper 1993https://www.bankofcanada.ca/wp-content/uploads/2010/10/gil93.pdfState Space and ARMA Models: An Overview of the EquivalencePaul GilbertJanuary 1993