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An algebraic analysis using Matrix Padé Approximation to improve the choice of certain parameter in Scalar Component Models

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  • Pestano-Gabino, Celina
  • González-Concepción, Concepción
  • Gil-Fariña, María Candelaria

Abstract

This paper presents an algebraic analysis using Matrix Padé Aproximation to improve the identification stage of the proposal in [6] on Scalar Component Models, specifically as it refers to the choice of a parameter they denote h. The original methodology in [6] is based on the construction and interpretation of a table whose elements are related to the singular value zero of certain relevant matrices in the process. We propose the alternative use of what we call a Ranks Table and the sure overall orders concept instead of the so-called overall orders. Ranks Table information allows for the improved interpretation and implication of the results and of potential computational and statistical properties.

Suggested Citation

  • Pestano-Gabino, Celina & González-Concepción, Concepción & Gil-Fariña, María Candelaria, 2010. "An algebraic analysis using Matrix Padé Approximation to improve the choice of certain parameter in Scalar Component Models," DES - Working Papers. Statistics and Econometrics. WS ws100803, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:wsrepe:ws100803
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    References listed on IDEAS

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    1. George Athanasopoulos & Farshid Vahid, 2008. "A complete VARMA modelling methodology based on scalar components," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(3), pages 533-554, May.
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