Estimating and applying autoregression models via their eigensystem representation

Estimating and applying autoregression models via their eigensystem representation

This article introduces the eigensystem autoregression (EAR) framework, which allows an AR model to be specified, estimated, and applied directly in terms of its eigenvalues and eigenvectors. An EAR estimation can therefore impose various constraints on AR dynamics that would not be possible within...

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Bibliographic Details
Main Author: KRIPPNER, Leo
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2023
Subjects:
autoregression
lag polynomial
eigenvalues
eigenvectors
companion matrix
Econometrics
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/skbi/32
https://ink.library.smu.edu.sg/context/skbi/article/1031/viewcontent/Krippner20231002..pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/skbi/32
https://ink.library.smu.edu.sg/context/skbi/article/1031/viewcontent/Krippner20231002..pdf

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