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- 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
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
Statistical analysis of novel subspace identification methods
- K. Peternell, W. Scherrer, M. Deistler
- Mathematics, Computer Science
- Signal Process.
- 2 July 1996
TLDR
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
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
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
Consistency and relative efficiency of subspace methods
- M. Deistler, K. Peternell, W. Scherrer
- Mathematics, Computer Science
- Autom.
- 1 December 1995
TLDR
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