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Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes

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Summary

The problem of identifiability of a multivariate autoregressive moving average process is considered and a complete solution is obtained by using the Markovian representation of the process. The maximum likelihood procedure for the fitting of the Markovian representation is discussed. A practical procedure for finding an initial guess of the representation is introduced and its feasibility is demonstrated with numerical examples.

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Authors
  1. Hirotugu Akaike
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Institute of Statistical Mathematics

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Akaike, H. Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes. Ann Inst Stat Math 26, 363–387 (1974). https://doi.org/10.1007/BF02479833

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  • DOI: https://doi.org/10.1007/BF02479833

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