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arXiv · 2004.02463

Spectral Rank, Feedback, Causality and the Indirect Method for CARMA Identification

Wenqi Cao·Anders Lindquist·Giorgio Picci
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Abstract

Building on a recent paper by Georgiou and Lindquist [1] on the problem of rank deficiency of spectral densities and hidden dynamical relations after sampling of continuous-time stochastic processes, this paper is devoted to understanding related questions of feedback and Granger causality that affect stability properties. This then naturally connects to CARMA identification, where we remark on certain oversights in the literature.

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Wenqi Cao, Anders Lindquist, Giorgio Picci. 2020-04-06. Spectral Rank, Feedback, Causality and the Indirect Method for CARMA Identification. https://arxiv.org/abs/2004.02463

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