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Publications Influence

A SIMPLE ESTIMATOR OF COINTEGRATING VECTORS IN HIGHER ORDER INTEGRATED SYSTEMS

- M. Deistler, R. Engle, P. Phillips, D. Quah
- 2007

Efficient estimators of cointegrating vectors are presented for systems involving deterministic components and variables of differing, higher orders of integration. The estimators are computed using… Expand

646 73- PDF

The statistical theory of linear systems

- E. Hannan, M. Deistler
- Mathematics
- 1 May 1989

Publisher Summary The chapter discusses the development of a rather complete inferential theory for ARMAX models. The first problem in the development is the coordinatization of spaces of such… Expand

719 68

Nonnegative realization of a linear system with nonnegative impulse response

- B. Anderson, M. Deistler, L. Farina, L. Benvenuti
- Mathematics
- 1 February 1996

Let H(z) be a rational transfer function, with associated nonnegative impulse response sequence. The paper considers the question: When does there exist a triple A/spl isin/R/sup N/spl times/N/,… Expand

168 12- PDF

Statistical analysis of novel subspace identification methods

- K. Peternell, W. Scherrer, M. Deistler
- Mathematics, Computer Science
- Signal Process.
- 2 July 1996

TLDR

121 9

Identifiability in dynamic errors-in-variables models

- B. O. Anderson, M. Deistler
- Mathematics
- The 22nd IEEE Conference on Decision and Control
- 1983

This paper is concerned with the identifiability of scalar linear dynamic errors-in-variables systems. The analysis is based on second moments only. The set of feasible systems corresponding to given… Expand

122 7- PDF

Time series econometrics

- M. Deistler
- Computer Science
- 1 September 1996

TLDR

42 6

A Structure Theory for Linear Dynamic Errors-in-Variables Models

- W. Scherrer, M. Deistler
- Mathematics
- 1 November 1998

We deal with problems connected with the identification of linear dynamic systems in situations when inputs and outputs may be contaminated by noise. The case of uncorrelated noise components and the… Expand

65 4

MULTIVARIATE AR SYSTEMS AND MIXED FREQUENCY DATA: G-IDENTIFIABILITY AND ESTIMATION

- B. Anderson, M. Deistler, Elisabeth Felsenstein, Bernd Funovits, Lukas Koelbl, M. Zamani
- Mathematics
- Econometric Theory
- 1 August 2016

This paper is concerned with the problem of identifiability of the parameters of a high frequency multivariate autoregressive model from mixed frequency time series data. We demonstrate… Expand

24 4- PDF

Consistency and relative efficiency of subspace methods

- M. Deistler, K. Peternell, W. Scherrer
- Mathematics, Computer Science
- Autom.
- 1 December 1995

TLDR

103 3

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