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The STATESPACE Procedure

References

Akaike, H. (1974), "Markovian Representation of Stochastic Processes and Its Application to the Analysis of Autoregressive Moving Average Processes," Annals of the Institute of Statistical Mathematics, 26, 363-387.

Akaike, H. (1976), "Canonical Correlations Analysis of Time Series and the Use of an Information Criterion," in Advances and Case Studies in System Identification, eds. R. Mehra and D.G. Lainiotis, New York: Academic Press.

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Ansley, C.F. and Newbold, P. (1979), "Multivariate Partial Autocorrelations," Proceedings of the Business and Economic Statistics Section, American Statistical Association, 349-353.

Box, G.E.P. and Jenkins, G. (1976), Time Series Analysis: Forecasting and Control, San Francisco: Holden-Day.

Brockwell, P.J. and Davis, R.A. (1991), Time Series: Theory and Methods, 2nd Edition, Springer-Verlag.

Hannan, E.J. (1970), Multiple Time Series, New York: John Wiley & Sons.

Hannan, E.J. (1976), "The Identification and Parameterization of ARMAX and State Space Forms," Econometrica, 44, 713-722.

Harvey, A.C. (1981a), The Econometric Analysis of Time Series, New York: John Wiley & Sons.

Harvey, A.C. (1981b), Time Series Models, New York: John Wiley & Sons.

Jones, R.H. (1974), "Identification and Autoregressive Spectrum Estimation," IEEE Transactions on Automatic Control, AC-19, 894-897.

Pham-Dinh-Tuan (1978), "On the Fitting of Multivariate Processes of the Autoregressive-Moving Average Type," Biometrika, 65, 99-107.

Priestley, M.B. (1980), "System Identification, Kalman Filtering, and Stochastic Control," in Directions in Time Series, eds. D.R. Brillinger and G.C. Tiao, Institute of Mathematical Statistics.

Whittle, P. (1963), "On the Fitting of Multivariate Autoregressions and the Approximate Canonical Factorization of a Spectral Density Matrix," Biometrika, 50, 129-134.

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