Positivity conditions for stochastic state space modelling of time series

Christiaan Heij, Teun Kloek, André Lucas

Research output: Contribution to JournalArticleAcademicpeer-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 languageEnglish
Pages (from-to)379-396
Number of pages18
JournalEconometric Reviews
Volume11
Issue number3
DOIs
Publication statusPublished - 1 Jan 1992

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State-space modeling
Autoregressive moving average
Spectral analysis
Stochastic processes

Keywords

  • balancing
  • positive real lemma
  • state space models
  • Time series analysis

Cite this

Heij, Christiaan ; Kloek, Teun ; Lucas, André. / Positivity conditions for stochastic state space modelling of time series. In: Econometric Reviews. 1992 ; Vol. 11, No. 3. pp. 379-396.
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Positivity conditions for stochastic state space modelling of time series. / Heij, Christiaan; Kloek, Teun; Lucas, André.

In: Econometric Reviews, Vol. 11, No. 3, 01.01.1992, p. 379-396.

Research output: Contribution to JournalArticleAcademicpeer-review

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