AN EQUIVALENT CANONICAL FORM FOR MULTIPLE TIME SERIES
Ang J · 1987
In this paper,an equivalent canonical form VARTMA of multiple time series models is obtainedby using the polynomial matrix theory,which may lead to converting the parameter estimation problemof the simultaneous equations into that of the single equation in modeling.It it proved that a VARMAmodel can be turned into the unique VARTMA form by means of the equivalence transformation,andthe character of the transformed model is not changed at all.