A Note on the Canonical Structure of Multivariate Dynamic Linear Models |
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| Authors: | K. Triantafyllopoulos |
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| Affiliation: | 1. Department of Probability and Statistics , University of Sheffield , Sheffield, UK k.triantafyllopoulos@sheffield.ac.uk |
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| Abstract: | In this note we show that the condition of observability is not sufficient for minimality in the multivariate state space models. We show that model building based on Jordan canonical forms cannot capture all observable dynamic linear models. |
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| Keywords: | Dynamic linear models Jordan form Observability Time series |
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