Abstract
This chapter constructs a Hankel matrix from auto-covariance matrices of time series which are used in Chapter 9 to estimate system matrices in the state space models for the data-generating processes. This chapter describes several concepts and relations needed in the later chapters.
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© 1990 Springer-Verlag Berlin · Heidelberg
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Aoki, M. (1990). Hankel Matrix and Singular Value Decomposition. In: State Space Modeling of Time Series. Universitext. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-75883-6_6
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DOI: https://doi.org/10.1007/978-3-642-75883-6_6
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-52870-8
Online ISBN: 978-3-642-75883-6
eBook Packages: Springer Book Archive