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• W2058049057 abstract "A method for constructing a state-space representation of vector-valued time series is discussed and related to two other methods for Markovian model construction from a unifying point of view. The three methods are shown to employ different normalizations and to employ different optimality criteria for summarizing in a finite-dimensional state vector information contained in past data. The method proposed in this paper is shown to lead to stable innovation models for time series. A numerical example is included to illustrate the potential of the proposed method." @default.
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• W2058049057 date "1989-10-01" @default.
• W2058049057 modified "2023-09-27" @default.
• W2058049057 title "A method for approximate representation of vector-valued time series and its relation to two alternatives" @default.
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• W2058049057 doi "https://doi.org/10.1016/0304-4076(89)90002-x" @default.
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