The ARMA model in state space form

Piet de Jong, Jeremy Penzer*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

27 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 languageEnglish
Pages (from-to)119-125
Number of pages7
JournalStatistics and Probability Letters
Volume70
Issue number1
DOIs
Publication statusPublished - 15 Oct 2004

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