The ARMA model in state space form

Piet de Jong; Jeremy Penzer

doi:10.1016/j.spl.2004.08.006

The ARMA model in state space form

Piet de Jong, Jeremy Penzer^*

^*Corresponding author for this work

Department of Actuarial Studies and Business Analytics

Research output: Contribution to journal › Article › peer-review

28 Citations (Scopus)

Abstract

This article explores alternative state space representations for ARMA models. We advocate representations that have minimal state order and appealing Kalman filter steady state properties. We derive expressions for smoother output and describe concrete connections to classical infinite sample representations.

Original language	English
Pages (from-to)	119-125
Number of pages	7
Journal	Statistics and Probability Letters
Volume	70
Issue number	1
DOIs	https://doi.org/10.1016/j.spl.2004.08.006
Publication status	Published - 15 Oct 2004

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The ARMA model in state space form

Abstract

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