Identification of Canonical Models for Vectors of Time Series: A Subspace Approach

48 Pages Posted: 3 Mar 2015 Last revised: 12 Dec 2022

See all articles by Alfredo García-Hiernaux

Alfredo García-Hiernaux

Universidad Complutense de Madrid (UCM) - Department of Fundamentals of Economic Analysis II (Quantitative Economics)

José Casals

Universidad Complutense de Madrid (UCM) - Department of Fundamentals of Economic Analysis II (Quantitative Economics)

Miguel Jerez

Universidad Complutense de Madrid (UCM) - Department of Fundamentals of Economic Analysis II (Quantitative Economics)

Date Written: March 3, 2021

Abstract

In this paper we propose a new method to specify linear models for vectors of time series with some convenient properties: First, it provides a unique modeling approach for single and multiple time series, as the same decisions are required in both cases. Second, it is scalable, meaning that it provides quickly a possibly crude but statistically adequate model, which can be refined in further modeling phases if required. Third, it is optionally automatic, meaning that the specification depends on a few key parameters that can be determined either automatically or by human decision. And last it is parsimonious, as it allows one to impose a canonical structure, which can be further simplified through exclusion constraints. Several examples with simulated and real data illustrate the practical application of this procedure and a MATLAB implementation is freely distributed through the Internet.

Keywords: System identification, canonical models, Kronecker indices, subspace methods, state-space models, Kalman filter

JEL Classification: C32, C51

Suggested Citation

García-Hiernaux, Alfredo and Casals, José and Jerez, Miguel, Identification of Canonical Models for Vectors of Time Series: A Subspace Approach (March 3, 2021). Available at SSRN: https://ssrn.com/abstract=2572931 or http://dx.doi.org/10.2139/ssrn.2572931

Alfredo García-Hiernaux

Universidad Complutense de Madrid (UCM) - Department of Fundamentals of Economic Analysis II (Quantitative Economics) ( email )

Campus of Somosaguas
Madrid
Spain

José Casals

Universidad Complutense de Madrid (UCM) - Department of Fundamentals of Economic Analysis II (Quantitative Economics) ( email )

Campus of Somosaguas
Madrid
Spain

Miguel Jerez (Contact Author)

Universidad Complutense de Madrid (UCM) - Department of Fundamentals of Economic Analysis II (Quantitative Economics) ( email )

Campus of Somosaguas
Madrid
Spain

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