Behavioural Approximation of Stochastic Processes by Rank Reduced Spectra
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.
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|Econometric Institute Research Papers|
|Organisation||Erasmus School of Economics|
Heij, C, & Scherrer, W. (1996). Behavioural Approximation of Stochastic Processes by Rank Reduced Spectra (No. EI 9610/A). Econometric Institute Research Papers. Retrieved from http://hdl.handle.net/1765/1374