Conversion Among Arma Models And State-Space Representation
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.
Copyright (c) 2021 William W.S. Chen
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