Enforcing solvability of a nonlinear matrix equation and estimation of multivariate ARMA time series

Abstract

The matrix equation X +AX−1AT = B, arising in parameter estimation of certain time series models, is solvable only for certain values of the matrices A,B. We present a numerical method to modify A,B in order to make the matrix equation solvable. Since solvability depends on the location of the eigenvalues of the palindromic matrix polynomial λA+ λB+A , our… (More)

Topics

6 Figures and Tables

Cite this paper

@inproceedings{Brll2013EnforcingSO, title={Enforcing solvability of a nonlinear matrix equation and estimation of multivariate ARMA time series}, author={Tobias Br{\"{u}ll and Giacomo Sbrana and Christian Schroeder}, year={2013} }