<div class="csl-bib-body">
<div class="csl-entry">Deistler, M. (2019). Singular ARMA systems: A structure theory. <i>Numerical Algebra, Control and Optimization</i>, <i>9</i>(3), 383–391. https://doi.org/10.3934/naco.2019025</div>
</div>
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dc.identifier.issn
2155-3289
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dc.identifier.uri
http://hdl.handle.net/20.500.12708/143887
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dc.description.abstract
Singular vector ARMA systems are vector ARMA (VARMA) systems with singular innovation variance or equivalently with singular spectral density of the corresponding VARMA process. Such systems occur in linear dynamic factor models, e.g. if the dimension of the static factors is strictly larger than the dimension of the dynamic factors or in linear dynamic stochastic equilibrium models, if the number of outputs is strictly larger than the number of shocks. We describe the relation of factor models and singular ARMA systems and a realization procedure for singular ARMA systems. Finally we discuss kernel systems.
en
dc.language.iso
en
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dc.publisher
AIMS Press
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dc.relation.ispartof
Numerical Algebra, Control and Optimization
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dc.subject
Applied Mathematics
en
dc.subject
Algebra and Number Theory
en
dc.subject
Control and Optimization
en
dc.title
Singular ARMA systems: A structure theory
en
dc.type
Artikel
de
dc.type
Article
en
dc.description.startpage
383
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dc.description.endpage
391
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dc.type.category
Original Research Article
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tuw.container.volume
9
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tuw.container.issue
3
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tuw.journal.peerreviewed
true
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tuw.peerreviewed
true
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tuw.researchTopic.id
A3
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tuw.researchTopic.id
A4
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tuw.researchTopic.name
Fundamental Mathematics Research
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tuw.researchTopic.name
Mathematical Methods in Economics
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tuw.researchTopic.value
40
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tuw.researchTopic.value
60
-
dcterms.isPartOf.title
Numerical Algebra, Control and Optimization
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tuw.publication.orgunit
E105-02 - Forschungsbereich Ökonometrie und Systemtheorie
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tuw.publisher.doi
10.3934/naco.2019025
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dc.identifier.eissn
2155-3297
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dc.description.numberOfPages
9
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wb.sciencebranch
Mathematik
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wb.sciencebranch.oefos
1010
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wb.facultyfocus
Wirtschaftsmathematik und Stochastik
de
wb.facultyfocus
Mathematical Methods in Economics and Stochastics
en
wb.facultyfocus.faculty
E100
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none
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http://purl.org/coar/resource_type/c_2df8fbb1
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research article
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item.languageiso639-1
en
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Publications
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item.fulltext
no Fulltext
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crisitem.author.dept
E105 - Institut für Stochastik und Wirtschaftsmathematik
