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On the Identifiability of Minimal VARMA Representations

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Abstract

By studying the geometry of relevant Hilbert spaces, we give a characterization of the identifiable standard representations of multivariate ARMA models in terms of the autocovariance function.

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Authors and Affiliations

  1. Université Montpellier II, France

    Alain Berlinet

  2. Université des Sciences et Technologies de Lille, France

    Christian Francq

Authors
  1. Alain Berlinet
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  2. Christian Francq
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Berlinet, A., Francq, C. On the Identifiability of Minimal VARMA Representations. Statistical Inference for Stochastic Processes 1, 1–15 (1998). https://doi.org/10.1023/A:1009955223247

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  • DOI: https://doi.org/10.1023/A:1009955223247

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