Forecasting with unobserved components time series models
A Harvey - Handbook of economic forecasting, 2006 - Elsevier
Structural time series models are formulated in terms of components, such as trends,
seasonals and cycles, that have a direct interpretation. As well as providing a framework for …
seasonals and cycles, that have a direct interpretation. As well as providing a framework for …
[图书][B] State-space methods for time series analysis: theory, applications and software
The state-space approach provides a formal framework where any result or procedure
developed for a basic model can be seamlessly applied to a standard formulation written in …
developed for a basic model can be seamlessly applied to a standard formulation written in …
Computation of general inner-outer and spectral factorizations
C Oara, A Varga - IEEE Transactions on Automatic Control, 2000 - ieeexplore.ieee.org
In this paper, we solve two problems in linear systems theory: the computation of the inner-
outer and spectral factorizations of a continuous-time system considered in the most general …
outer and spectral factorizations of a continuous-time system considered in the most general …
[图书][B] Multivariate time series with linear state space structure
V Gómez - 2016 - Springer
The subject of this book is the estimation of random vectors given observations of a related
random process assuming that there is a linear relation between them. Since the class of …
random process assuming that there is a linear relation between them. Since the class of …
A multilayer recurrent neural network for solving continuous-time algebraic Riccati equations
J Wang, G Wu - Neural Networks, 1998 - Elsevier
A multilayer recurrent neural network is proposed for solving continuous-time algebraic
matrix Riccati equations in real time. The proposed recurrent neural network consists of four …
matrix Riccati equations in real time. The proposed recurrent neural network consists of four …
Robustness analysis of uncertain discrete‐time systems with dissipation inequalities and integral quadratic constraints
This paper presents a connection between dissipation inequalities and integral quadratic
constraints (IQCs) for robustness analysis of uncertain discrete‐time systems. Traditional …
constraints (IQCs) for robustness analysis of uncertain discrete‐time systems. Traditional …
Lur'e equations and even matrix pencils
T Reis - Linear Algebra and its Applications, 2011 - Elsevier
In this work, we consider the so-called Lur'e matrix equations that arise eg in model
reduction and linear-quadratic infinite time horizon optimal control. We characterize the set …
reduction and linear-quadratic infinite time horizon optimal control. We characterize the set …
On the numerical solution of large-scale sparse discrete-time Riccati equations
P Benner, H Faßbender - Advances in Computational Mathematics, 2011 - Springer
We discuss the numerical solution of large-scale discrete-time algebraic Riccati equations
(DAREs) as they arise, eg, in fully discretized linear-quadratic optimal control problems for …
(DAREs) as they arise, eg, in fully discretized linear-quadratic optimal control problems for …
Skew-symmetric matrix polynomials and their Smith forms
Two canonical forms for skew-symmetric matrix polynomials over arbitrary fields are
characterized—the Smith form, and its skew-symmetric variant obtained via unimodular …
characterized—the Smith form, and its skew-symmetric variant obtained via unimodular …
Modified algebraic Riccati equation closed-form stabilizing solution
AJ Rojas - IEEE Access, 2021 - ieeexplore.ieee.org
A modified discrete-time algebraic Riccati equation (MARE) is a discrete-time algebraic
Riccati equation (DARE) for which the quadratic term is weighted by a modifying parameter …
Riccati equation (DARE) for which the quadratic term is weighted by a modifying parameter …