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Applications of multivariate techniques in the study of multivariable stochastic systems

Published online by Cambridge University Press:  01 July 2016

M. B. Priestley
Affiliation:
University of Manchester Institute of Science and Technology

Abstract

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Type
I. Invited Review and Research Papers
Copyright
Copyright © Applied Probability Trust 1977 

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References

Akaike, H. (1974a) Markovian representation of stochastic processes and its applications to the analysis of autoregressive moving-average processes. Ann. Inst. Statist. Math. 26, 363387.CrossRefGoogle Scholar
Priestley, M. B. (1976) Applications of multivariate techniques in the study of multivariate stochastic systems. Department of Mathematics, UMIST, Technical Report No. 75, May 1976.Google Scholar
Priestley, M. B., Subba Rao, T. and Tong, H. (1973) Identification of the structure of multivariable stochastic systems. In Multivariate Analysis III, ed. Krishnaiah, P. R., Academic Press, New York, 351368.CrossRefGoogle Scholar
Priestley, M. B. and Subba Rao, T. (1975) The estimation of factor scores and Kalman filtering for discrete parameter stationary processes. Int. J. Control 21, 971975.CrossRefGoogle Scholar
Subba Rao, T. (1975) An innovations approach to the reduction of the dimensions in a multivariable stochastic system. Int. J. Control 21, 673680.CrossRefGoogle Scholar
Subba Rao, T. and Tong, H. (1974) Identification of the covariance structure of state space models. Bull. Inst. Math. Appl. 10, 201203.Google Scholar

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