×
Hansen, Lars Peter; Sargent, Thomas J.

The dimensionality of the aliasing problem in models with rational spectral densities. (English) Zbl 0516.93063

Econometrica 51, 377-387 (1983).
Page: −5 −4 −3 −2 −1 ±0 +1 +2 +3 +4 +5 Show Scanned Page
scan of Zbl 0516.93063

Cited in 33 Documents

MSC:

93E12 Identification in stochastic control theory
62M15 Inference from stochastic processes and spectral analysis
93C99 Model systems in control theory
15A18 Eigenvalues, singular values, and eigenvectors
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
93C57 Sampled-data control/observation systems
60G10 Stationary stochastic processes

Keywords:

parameter identification; aliasing problem; continuous-time stochastic process; rational spectral density matrix
Cite Review PDF
Full Text: DOI DOI
OA License