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VARIANCES AND STABILITY IN LINEAR DYNAMIC MODELS
Author(s) -
Panne C.
Publication year - 1966
Publication title -
metroeconomica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.256
H-Index - 29
eISSN - 1467-999X
pISSN - 0026-1386
DOI - 10.1111/j.1467-999x.1966.tb00848.x
Subject(s) - stability (learning theory) , variance (accounting) , covariance , econometrics , mathematics , measure (data warehouse) , covariance matrix , function (biology) , economics , statistics , computer science , accounting , database , machine learning , evolutionary biology , biology
SUMMARY A derivation is presented of the variance‐covariance matrix of endogenous variables in a linear dynamic system, given the variances and covariances of exogenous variables and disturbances. A general formulation of the stabilization problem for linear systems is proposed, using as a measure for stability a function variances and covariances of the endogenous variables.