Stable reduced-rank VAR identification

IF 4.8 2区计算机科学 Q1 AUTOMATION & CONTROL SYSTEMS

Automatica Pub Date : 2024-10-02 DOI:10.1016/j.automatica.2024.111961

Xinhui Rong, Victor Solo

引用次数: 0

Abstract

The vector autoregression (VAR) has been widely used in system identification, econometrics, natural science, and many other areas. However, when the state dimension becomes large the parameter dimension explodes. So rank reduced modelling is attractive and is well developed. But a fundamental requirement in almost all applications is stability of the fitted model. And this has not been addressed in the rank reduced case. Here, we develop, for the first time, a closed-form formula for an estimator of a rank reduced transition matrix which is guaranteed to be stable. We show that our estimator is consistent and asymptotically statistically efficient and illustrate it in comparative simulations.

查看原文本刊更多论文

稳定的缩减秩 VAR 识别

向量自回归（VAR）已被广泛应用于系统识别、计量经济学、自然科学等诸多领域。然而，当状态维度变大时，参数维度也会爆炸。因此，秩缩减建模很有吸引力，也得到了很好的发展。但几乎所有应用的一个基本要求是拟合模型的稳定性。而这一点在秩缩减模型中尚未得到解决。在这里，我们首次提出了秩缩减过渡矩阵估计器的闭式公式，并保证其稳定性。我们证明了我们的估计器在统计上是一致和渐进有效的，并通过比较模拟进行了说明。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Automatica 工程技术-工程：电子与电气

CiteScore

10.70

自引率

7.80%

发文量

617

审稿时长

5 months

期刊介绍： Automatica is a leading archival publication in the field of systems and control. The field encompasses today a broad set of areas and topics, and is thriving not only within itself but also in terms of its impact on other fields, such as communications, computers, biology, energy and economics. Since its inception in 1963, Automatica has kept abreast with the evolution of the field over the years, and has emerged as a leading publication driving the trends in the field. After being founded in 1963, Automatica became a journal of the International Federation of Automatic Control (IFAC) in 1969. It features a characteristic blend of theoretical and applied papers of archival, lasting value, reporting cutting edge research results by authors across the globe. It features articles in distinct categories, including regular, brief and survey papers, technical communiqués, correspondence items, as well as reviews on published books of interest to the readership. It occasionally publishes special issues on emerging new topics or established mature topics of interest to a broad audience. Automatica solicits original high-quality contributions in all the categories listed above, and in all areas of systems and control interpreted in a broad sense and evolving constantly. They may be submitted directly to a subject editor or to the Editor-in-Chief if not sure about the subject area. Editorial procedures in place assure careful, fair, and prompt handling of all submitted articles. Accepted papers appear in the journal in the shortest time feasible given production time constraints.