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Estimating the system order by subspace methods

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorGarcía-Hiernaux, Alfredo
dc.contributor.authorCasals, José
dc.contributor.authorJerez, Miguel
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Estadísticaen
dc.date.accessioned2007-08-31T12:20:47Z
dc.date.available2007-08-31T12:20:47Z
dc.date.issued2007-01
dc.description.abstractThis paper discusses how to determine the order of a state-space model. To do so, we start by revising existing approaches and find in them three basic shortcomings: i) some of them have a poor performance in short samples, ii) most of them are not robust and iii) none of them can accommodate seasonality. We tackle the first two issues by proposing new and refined criteria. The third issue is dealt with by decomposing the system into regular and seasonal sub-systems. The performance of all the procedures considered is analyzed through Monte Carlo simulations.en
dc.format.extent450124 bytes
dc.format.mimetypeapplication/pdf
dc.identifier.repecws070301
dc.identifier.urihttps://hdl.handle.net/10016/932
dc.language.isoengen
dc.language.isoengen
dc.relation.ispartofseriesUC3M Working papers. Statistics and Econometricsen
dc.relation.ispartofseries07-03en
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEstadística
dc.subject.otherSystem orderen
dc.subject.otherState-space modelsen
dc.subject.otherSubspace methodsen
dc.subject.otherInformation criteriaen
dc.subject.otherSeasonalityen
dc.titleEstimating the system order by subspace methodsen
dc.typeworking paper*
dspace.entity.typePublication
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