Positivity conditions for stochastic state space modelling of time series

Christiaan Heij; Teun Kloek; André Lucas

doi:10.1080/07474939208800247

Positivity conditions for stochastic state space modelling of time series

Christiaan Heij, Teun Kloek, André Lucas

Econometrics and Data Science

Research output: Contribution to Journal › Article › Academic › peer-review

Abstract

This short paper clarifies some aspects of the balancing method for state space modelling of observed time series. This method may fail to satisfy the so—called positive real condition for stochastic processes. We illustrate this by theoretical spectral analysis and also by simulating univariate ARMA (1,1) models.

Original language	English
Pages (from-to)	379-396
Number of pages	18
Journal	Econometric Reviews
Volume	11
Issue number	3
DOIs	https://doi.org/10.1080/07474939208800247
Publication status	Published - 1 Jan 1992

Keywords

balancing
positive real lemma
state space models
Time series analysis

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title = "Positivity conditions for stochastic state space modelling of time series",

abstract = "This short paper clarifies some aspects of the balancing method for state space modelling of observed time series. This method may fail to satisfy the so—called positive real condition for stochastic processes. We illustrate this by theoretical spectral analysis and also by simulating univariate ARMA (1,1) models.",

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author = "Christiaan Heij and Teun Kloek and Andr{\'e} Lucas",

year = "1992",

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Positivity conditions for stochastic state space modelling of time series

Abstract

Keywords

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