Conversion Among Arma Models And State-Space Representation
2021 ◽
Vol 9
(2)
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pp. 53-59
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We present the ARMA models (or Non-Markovian) and state-space (or Markovian) representation relationship. Then we break the problem into three different cases to discuss how one form could be converted to another form. In case A, we assume that we know the state-space representation then we convert it into the ARMA model. In case B, we reverse the situation, given the ARMA model we convert into state-space representation. In Case C, we combine the first two cases, conversion the two forms in either directions.
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2021 ◽
Vol 104
◽
pp. 103294
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Predicting equity premium using dynamic model averaging. Does the state–space representation matter?
2021 ◽
Vol 57
◽
pp. 101442
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2012 ◽
Vol 2012
◽
pp. 1-12
◽
1982 ◽
Vol 27
(6)
◽
pp. 1200-1211
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Keyword(s):
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2004 ◽
Vol 52
(10-2004)
◽
pp. 470-480
◽
Keyword(s):