State Space and ARMA Models: An Overview of the Equivalence

La presente etude contient une synthese des resultats ayant trait a l’equivalence qui existe entre les modeles d’espace d’etat et les modeles autoregressifs a moyennes mobiles dotes de variables exogenes ou modeles ARMAX (vecteur autoregressif compris). Meme si la plupart de ces resultats ne sont pas nouveaux, aucun document ne semblait reunir jusqu’ici toute l’information a leur sujet.

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