Conversion Among Arma Models And State-Space Representation

Authors

  • William W.S. Chen Department of Statistics The George Washington University Washington D.C. 20013

DOI:

https://doi.org/10.14738/tmlai.92.10008

Keywords:

ARMA Model, Conversion to another form, Markovian Representation, replace t by t 1, replace t 3 by t, State-Space representation, Time Index.

Abstract

We present the ARMA models (or Non-Markovian) and state-space (or Markovian) representation relationship. Then we break the problem into three different cases to discuss how one form could be converted to another form. In case A, we assume that we know the state-space representation then we convert it into the ARMA model. In case B, we reverse the situation, given the ARMA model we convert into state-space representation. In Case C, we combine the first two cases, conversion the two forms in either directions. 

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Published

2021-04-23

How to Cite

Chen, W. W. (2021). Conversion Among Arma Models And State-Space Representation. Transactions on Machine Learning and Artificial Intelligence, 9(2), 53–59. https://doi.org/10.14738/tmlai.92.10008