Skip to main content

The Properties of the Parameterization of ARMAX Systems in Structural Specification and their Relevance for Estimation

  • Conference paper
Stochastic Systems: The Mathematics of Filtering and Identification and Applications

Part of the book series: NATO Advanced Study Institutes Series ((ASIC,volume 78))

  • 550 Accesses

Abstract

Topological and geometrical properties of the parameterization of ARMAX systems and their consequences for estimation are considered. Thereby we deal with the case when a-priori information about the parameters is available (structural specification).

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Subscribe and save

Springer+ Basic
$34.99 /Month
  • Get 10 units per month
  • Download Article/Chapter or eBook
  • 1 Unit = 1 Article or 1 Chapter
  • Cancel anytime
Subscribe now

Buy Now

Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 259.00
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 329.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book
USD 329.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Similar content being viewed by others

References

  1. Clark, J.M.C.: “The Consistent Selections of Parameterizations in Systems Identification.” Paper presented at JACC (1976).

    Google Scholar 

  2. Deistler, M.: “The Properties of the Parameterization of ARMAX Systems and Their Relevance for Structural Estimation and Dynamic Specification.” Paper presented at the 4th World Congress of the Econometric Society, Aix-en-Provence 1980.

    Google Scholar 

  3. Deistler, M., W. Dunsmuir and E.J. Hannan: “Vector Linear Time Series Models: Corrections and Extensions.” Adv.Appl.Prob. 10, (1978), 360–372.

    Article  MathSciNet  MATH  Google Scholar 

  4. Deistler, M. and E.J. Hannan: “Some Properties of the Parameterization of ARMA Systems with Unknown Order.” Mimeo (1979).

    Google Scholar 

  5. Hannan, E.J.: “The Identification Problem for Multiple Equation Systems with Moving Average Errors.” Econometrica 39 (1971), 751–767.

    Article  MathSciNet  MATH  Google Scholar 

  6. Hannan, E.J., W. Dunsmuir and M. Deistler: “Estimation of Vector ARMAX Models.” To appear in J. Multivariate Analysis (1980).

    Google Scholar 

  7. Hazewinkel, M., “Moduli and Canonical Forms for Linear Dynamical Systems II: The Topological Case.” Math. Systems Theory 10, (1977), 363–385.

    Article  MathSciNet  MATH  Google Scholar 

  8. Kalman, R.E.: “Algebraic Geometric Description of the Class of Linear Systems of Constant Dimension.” 8th Ann. Princeton Conf. on Information Sciences and Systems, Princeton, N.J. 1974.

    Google Scholar 

Download references

Author information

Authors and Affiliations

Authors

Editor information

Editors and Affiliations

Rights and permissions

Reprints and permissions

Copyright information

© 1981 D. Reidel Publishing Company

About this paper

Cite this paper

Deistler, M. (1981). The Properties of the Parameterization of ARMAX Systems in Structural Specification and their Relevance for Estimation. In: Hazewinkel, M., Willems, J.C. (eds) Stochastic Systems: The Mathematics of Filtering and Identification and Applications. NATO Advanced Study Institutes Series, vol 78. Springer, Dordrecht. https://doi.org/10.1007/978-94-009-8546-9_14

Download citation

  • DOI: https://doi.org/10.1007/978-94-009-8546-9_14

  • Publisher Name: Springer, Dordrecht

  • Print ISBN: 978-94-009-8548-3

  • Online ISBN: 978-94-009-8546-9

  • eBook Packages: Springer Book Archive

Publish with us

Policies and ethics