Autoregressive models of singular spectral matrices

This paper deals with autoregressive (AR) models of singular spectra, whose corresponding transfer function matrices can be expressed in a stable AR matrix fraction description D-1(q)B with B a tall constant matrix of full column rank and with the determinantal zeros of D(q) all stable, i.e. in vertical bar q vertical bar > 1, q is an element of C. To obtain a parsimonious AR model, a canonical form is derived and a number of advantageous properties are demonstrated. First, the maximum lag of the canonical AR model is shown to be minimal in the equivalence class of AR models of the same transfer function matrix. Second, the canonical form model is shown to display a nesting property under natural conditions. Finally, an upper bound is provided for the total number of real parameters in the obtained canonical AR model, which demonstrates that the total number of real parameters grows linearly with the number of rows in W (q). (c) 2012 Elsevier Ltd. All rights reserved.