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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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2023
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| Subjects: | |
| 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 |