Markovian Representation of Stochastic Processes and Its Application to the Analysis of Autoregressive Moving Average Processes
Springer series in statisticsPublished 1 January 1998
Hirotugu Akaike
Citations374
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Abstract
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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