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 The Anderson-Moore Algorithm
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Problem Statement
Characterize the dynamics of xt where
sum h Hixt+i = 0,t = 0,..., oo i=-t with initial conditions, if any, given by constraints of the form data xi = xi ,i = - t,... ,- 1 where both t and h are non-negative, and xt is an L dimensional vector with lt-->imo o ||xt|| < oo
Anderson-Moore Algorithm Output Matrices
Q - Asymptotic Linear Constraints Matrix
such that
|_ _| xt-t Q |_ ... _| = 0 ===> lkim--> oo ||xt+k||< oo xt+h-1
for all xt satisfying the linear homogeneous system.
B - Autoregressive Representation Matrix
- sum 1 xt = Bixt+i i=-t
satisfies the linear homogeneous system and lim k--> oo ||xt+k|| < oo .
S - Observable Structure Matrix
determine the existence and uniqueness of an observable structure matrix,S such that
|_ _| xt- t et = S |_ ... _| x t
f, r - Stochastic Transition Matrices
|_ _| |_ _| xt-t+1 xt- t [ ] |_ ... _| = r |_ ... _| + f et xt xt- 1

The SPSolve routine computes cof(for H), cofb(for B), scof(for S), dTrans(for f), and bTrans(for r).



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Last update: January 2006