Positivity conditions for stochastic state space modelling of time series |
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| Authors: | Heij Christiaan Kloek Teun Lucas André |
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| Institution: | Econometric Institute, Erasmus University Rotterdam , P.O. Box 1738, DR Rotterdam, 3000, Netherlands |
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| Abstract: | This short paper clarifies some aspects of the balancing method for state space modelling of observed time series. This method may fail to satisfy the so-called positive real condition for stochastic processes. We illustrate this by theoretical spectral analysis and also by simulating univariate ARMA (1,1) models. |
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| Keywords: | Time Series Analysis State Space Models Balancing Positive Real Lemma |
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