Two Canonical VARMA Forms: Scalar Component Models Vis-à-Vis the Echelon Form
Two Canonical VARMA Forms: Scalar Component Models Vis-à-Vis the Echelon Form
In this article we study two methodologies which identify and specify canonical form VARMA models. The two methodologies are: (1) an extension of the scalar component methodology which specifies canonical VARMA models by identifying scalar components through canonical correlations analysis; and (2) the Echelon form methodology, which specifies canonical VARMA …