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Mixed Frequency Structured AR Model Identification

Zamani, Mohsen; Felsenstein, Elisabeth; Anderson, Brian; Deistler, Manfred

Description

This paper is concerned with identifiability of an underlying high frequency multivariate stable singular AR system from mixed frequency observations. Such problems arise for instance in economics when some variables are observed monthly whereas others ar

CollectionsANU Research Publications
Date published: 2013
Type: Conference paper
URI: http://hdl.handle.net/1885/65682
Source: 2013 European Control Conference, ECC 2013

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