Observability and the eigenstructure of multivariate canonical dynamic linear models
نویسنده
چکیده
Multivariate canonical state space dynamic models are developed by studying the eigenstructure of their transition matrices. Observability is introduced for time-varying model components defining locally observable dynamic models. Single component models that have a simple transition matrix are first discussed and categorized according to their forecast function. Then more complicated models, defined as the superposition of single component models, are examined and necessary and sufficient conditions for observability are given.
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