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Statistica Sinica 1(1991), 247-269


TWO CANONICAL FORMS FOR VECTOR

ARMA PROCESSES


Ruey S. Tsay


University of Chicago


Abstract: This paper discusses canonical forms of vector ARMA representations for a linear, time-invariant system. Both the Kronecker index and the scalar-component model (SCM) approaches are presented and discussed. The Kronecker index approach results in an Echelon form. For the SCM approach, a canonical SCM representation is introduced. The relation between Kronecker indices and orders of scalar component models is also established.



Key words and phrases: Echelon form, Hankel matrix, Kronecker index, scalar component models, vector ARMA models.



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