Table 7

Summary of estimation results

ParameterValue
Estimated A Matrix−2.23×10−64.16×10−34.45×10−41.80×10−4−4.77×10−37.30×10−37.45×10−2−1.87×10−21.35×10−3−3.04×10−38.99×10−11.43×10−2−1.03×10−41.40×10−3−2.93×10−29.81×10−1
Estimated B Matrix−1.18×10−3−5.87×10−31.60×10−3−5.13×10−3−3.76×10−32.52×10−31.64×10−3−2.80×10−5−2.37×10−35.66×10−4−9.85×10−4−1.00×10−4
Eigenvalues of A0.00378991 + 0.00243652i, 0.00378991–0.00243652i, 0.90487607, 0.97503101
System StabilityStable (all eigenvalues within the unit circle)
Mean Cross-Validation Estimation Error0.0062 (Frobenius norm)
99% Confidence Interval for Estimation ErrorLower Bound: 0.0049, Upper Bound: 0.0161
Theoretical Upper Bound for Estimation Error0.352
Theoretical Lower Bound for Estimation Risk0.0047
Empirical Estimation risk0.6773

Source(s): Table by authors

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