The STATESPACE Procedure

References

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  • Akaike, H. (1976), “Canonical Correlations Analysis of Time Series and the Use of an Information Criterion,” in R. Mehra and D. G. Lainiotis, eds., System Identification: Advances and Case Studies, 27–96, New York: Academic Press.

  • Anderson, T. W. (1971), The Statistical Analysis of Time Series, New York: John Wiley & Sons.

  • Ansley, C. F. and Newbold, P. (1979), “Multivariate Partial Autocorrelations,” in Proceedings of the Business and Economic Statistics Section, Washington, DC: American Statistical Association.

  • Box, G. E. P. and Jenkins, G. M. (1976), Time Series Analysis: Forecasting and Control, Rev. Edition, San Francisco: Holden-Day.

  • Brockwell, P. J. and Davis, R. A. (1991), Time Series: Theory and Methods, 2nd Edition, New York: Springer-Verlag.

  • Hannan, E. J. (1970), Multiple Time Series, New York: John Wiley & Sons.

  • Hannan, E. J. (1976), “The Identification and Parameterization of ARMAX and State Space Forms,” Econometrica, 44, 713–722.

  • Harvey, A. C. (1981a), The Econometric Analysis of Time Series, New York: John Wiley & Sons.

  • Harvey, A. C. (1981b), Time Series Models, New York: John Wiley & Sons.

  • Jones, R. H. (1974), “Identification and Autoregressive Spectrum Estimation,” IEEE Transactions on Automatic Control, 19, 894–898.

  • Pham, D.-T. (1978), “On the Fitting of Multivariate Processes of the Autoregressive Moving Average Type,” Biometrika, 65, 99–107.

  • Priestley, M. B. (1980), “System Identification, Kalman Filtering, and Stochastic Control,” in D. R. Brillinger and G. C. Tiao, eds., Directions in Time Series, Bethesda, MD: Institute of Mathematical Statistics.

  • Whittle, P. (1963), “On the Fitting of Multivariate Autoregressions and the Approximate Canonical Factorization of a Spectral Density Matrix,” Biometrika, 50, 129–134.