Template-Type: ReDIF-Paper 1.0
Author-Name: Heij, C.
Author-Name-Last: Heij
Author-Name-First: Christiaan
Author-Name: Scherrer, W.
Author-Name-Last: Scherrer
Title: Behavioural Approximation of Stochastic Processes by Rank Reduced Spectra
Abstract: Behaviours provide an elegant, parameter free characterization of deterministic systems. We discuss a possible application of behaviours in the approximation of stochastic systems. This can be seen as an extension to the dynamic case of the well-known static factor analysis model. An essential difference is that we see modelling primarily as a matter of process approximation, not as a method to recover the true data generating process. In particular we see "noise properties" as a kind of prior model assumption that can be compared with the resulting quality of the process approximation.
Creation-Date: 1996-01-01
File-URL: https://repub.eur.nl/pub/1374/feweco19971104115458.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 9610/A
Keywords: behaviours, factor analysis, least squares, lineair systems, stationary  processes
Handle: RePEc:ems:eureir:1374