Some Algorithms to Identify Rational Structures in Stochastic Processes with Expectations
Concepción González-Concepción, María Candelaria Gil-Fariña & Celina Pestano-Gabino
Journal of Mathematics and Statistics, Volume 3, Issue 4, pp. 268–276 · doi.org/10.3844/jmssp.2007.268.276
Abstract
This research was concerned with the identification of rational models in stochastic processes and we use the Padé-Laurent Approximation to identify a Transfer-Function Model with Expectations. We mention the T-table method and focus in studying the generalised epsilon-algorithm, emphasizing the main role of the statistical significance of their numerical entries. Empirical work is made for non-causal TF models using both simulated and economic real data.
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González-Concepción, C., Gil-Fariña, M. C. & Pestano-Gabino, C. (2007). Some Algorithms to Identify Rational Structures in Stochastic Processes with Expectations. Journal of Mathematics and Statistics, 3(4), 268–276. https://doi.org/10.3844/jmssp.2007.268.276
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