@article{Chatfield1990TheST,
title={The Statistical Theory of Linear Systems.},
author={Chris Chatfield and E. J. Hannan and Manfred Deistler},
journal={The Statistician},
year={1990},
volume={39},
pages={85}
}

This paper considers the problem of hypothesis testing in linear Gaussian state space models. We consider two hypotheses of interest: a simple null and a hypothesis of explicit parameter… Expand

Several aspects of the statistical analysis of linear processes are investigated. For equidistantly observed multivariate Levy-driven continuous-time autoregressive moving average (CARMA) processes… Expand

An important question in empirical macroeconomics is whether structural vector autoregressions (SVARs) can reliably discriminate between competing DSGE models. Several recent papers have suggested… Expand

In this paper, we consider the introduction of Markov-switching (MS) processes to both the permanent and transitory components of the Beveridge-Nelson (BN) decomposition. This new class of MS models… Expand

Minimality of the state space representation of a stochastic process places restrictions on the rank of certain matrices that show up in the leading coecient of the principal part of the MA transfer… Expand

The objective of this chapter is reviewing this algorithm and discussing maximum likelihood inference, starting from the linear Gaussian case and discussing the extensions to a nonlinear and non Gaussian framework.Expand