Mixed Frequency Structured AR Model Identification
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Zamani, Mohsen
Felsenstein, Elisabeth
Anderson, Brian
Deistler, Manfred
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Conference Organising Committee
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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
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2013 European Control Conference, ECC 2013
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