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 System Identification: Advances and Case Studies, edited by R. Mehra, and D. G. Lainiotis, 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, 349–353. Washington, DC: American Statistical Association.

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

  • Brockwell, P. J., and Davis, R. A. (1991). Time Series: Theory and Methods. 2nd ed. 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 Directions in Time Series, edited by D. R. Brillinger, and G. C. Tiao, 228–254. 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.