IDENTIFIABILITY IN MULTIVARIATE DYNAMIC LINEAR ERRORS-IN- VARIABLES MODELS

@article{Nowak1992IDENTIFIABILITYIM,
  title={IDENTIFIABILITY IN MULTIVARIATE DYNAMIC LINEAR ERRORS-IN- VARIABLES MODELS},
  author={E. Nowak},
  journal={Journal of the American Statistical Association},
  year={1992},
  volume={87},
  pages={714-723}
}
  • E. Nowak
  • Published 1992
  • Mathematics
  • Journal of the American Statistical Association
Abstract This article considers multivariate causal transfer function systems with latent stationary inputs and outputs. Their observation is assumed to be disturbed by errors in variables (EV). The main identification results for such models so far consist of structure theory. Derived are descriptions of classes of EV transfer function systems compatible with given covariance structures of the observed variables under various causality constraints. The case of unique determination is treated… Expand
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