Corpus ID: 237635215

Modeling of Low Rank Time Series

@article{Cao2021ModelingOL,
  title={Modeling of Low Rank Time Series},
  author={Wenqi Cao and Anders Lindquist and Giorgio Picci},
  journal={ArXiv},
  year={2021},
  volume={abs/2109.11814}
}
  • Wenqi Cao, A. Lindquist, G. Picci
  • Published 24 September 2021
  • Engineering, Computer Science, Mathematics
  • ArXiv
Rank-deficient stationary stochastic vector processes are present in many problems in network theory and dynamic factor analysis. In this paper we study hidden dynamical relations between the components of a discrete-time stochastic vector process and investigate their properties with respect to stability and causality. More specifically, we construct transfer functions with a full-rank input process formed from selected components of the given vector process and having a vector process of the… Expand

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