In this paper a parallel and distributed computational procedure using a subspace method developed by Masanao Aoki for state space modeling of multivariate time series is proposed and implemented. The parallel solution of the Riccati equation due to the large computational effort it requires receives a special attention. For model evaluation, short time predictions, where a central role is played by a Kalman filtering approach are tested and some results are presented.2 14661471Akaike, H., Stochastic theory of minimal realization (1974) IEEE Transactions on Automatic Control, AC-19 (6), pp. 667-674. , DecemberAoki, M., (1990) State Space Modeling of Time Series, Second Ed., , Springer-VerlagBertsekas, D., Tsitsiklis, (1989) Parallel and Distributed Computations, , Prentice HallBlackford, L.S., Choi, J., Cleary, A., D'Azevedo, E., Demmel, J., Dhillon, I., Dongarra, J., Whaley, R.C., (1997) ScaLAPACK Users' Guide, , SIAM Publications, PhiladelphiaBottura, C.P., Barreto, G., Bordon, M.J., Costa Filho, J.T., State space modeling and high performance computing of multivariate time series (1997) Eigth SIAM Conference on Parallel Processing for Scientific ComputingBottura, C.P., Barreto, G., Bordon, M.J., Costa Filho, J.T., Séries Temporais No Espaço de Estado: Modelamento e Computação de Alto Desempenho (1997) XIV - Congresso Brasileiro de Engenharia Mecânica, Bauru, BrasilBottura, C.P., Tamariz, A.D.R., Barreto, G., Neto, F., Viana Da, J., Sequential and parallel algebraic riccati equations solutions via ESST on the schur method (1999) 38th IEEE Conference on Decision and ControlCaines, P.E., (1988) Linear Stochastic Systems, , Wiley(1991) Algorithms and Parallel VLSI Architectures, , Deprettere, E.F. and Van der Veen, Alle-Jan (ed.)Elsevier Science PubFaurre, P.L., (1973) Realisations Markoviennes de Processus Stationaires, (13). , IRIA - Rapport de RechercheMarchGolub, G.H., Van Loan, C.F., (1989) Matrix Computations, , The Johns Hopkins University PressGolub, G.H., Ortega, J.M., (1993) Scientific Computing: An Introduction with Parallel Computing, , Academic PressHamilton, J.D., (1994) Time Series Analysis, , Princeton U.PJainandunsing, K., Deprettrere, E.F., A new class of parallel algorithms for solving systems of linear equations (1989) SIAM J. Sci. Stat. Comput., 10 (5), pp. 880-912Kailath, T., (1980) Linear Systems, , Prentice-Hall, IncMoonen, M., (1990) Jacobi-Type Updating Algorithms for Signal Processing, Systems Identifications and Control, , Doctoral Dissertation, Department of Electrical Engineering, Katholieke Universiteit Leuven, BelgiumProakis, J.G., Rader, C.M., Fuyun, L., Nikias, C.L., (1992) Advanced Digital Signal Processing, , Macmillan Publishing CompanySnir, M., Otto, S., Huss-Lederman, S., Walker, D., Dongarra, J., (1996) MPI: The Complete Reference, , The MIT Press, Cambridge, MassachusettsStevens, W.R., (1990) UNIX Network Programming, , Prentice Hall Software SeriesTamariz, A.D.R., (1999) Uma Nova Proposta Para Solução Computacional da Equação Algébrica de Riccati em Formas Sequencial e Paralela, , Tese de Mestrado, UNICAMPVan Der Veen, A.-J., Deprettere, E.F., Swindlehurst, L.A., Subspace-based signal analysis using singular value decomposition (1993) Proceedings of the IEEE, 81 (9), pp. 1275-1308. , SeptemberVaughan, D.R., A nonrecursive algebraic solution for the discrete riccati equation (1970) IEEE Transactions on Automatic Control, AC-15 (5), pp. 597-599. , OctoberWiener, N., (1949) Extrapolation, Interpolation, and Smoothing of Stationary Time Series, with Engineering Applications, , New York, WileyWillems, J.C., From time series to linear system - Part I: Finite dimensional linear time invariant systems (1986) Automatica, 22 (5), pp. 561-580. , SeptemberWillems, J.C., From time series to linear system - Part II. Exact modeling (1986) Automatica, 22 (6), pp. 675-694. , NovemberWillems, J.C., From time series to linear system - Part III. Approximate modeling (1987) Automatica, 23 (1), pp. 87-115. , January