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An identification problem in almost and asymptotically almost periodically correlated processes

Published online by Cambridge University Press:  14 July 2016

Y. Isokawa
Y. Isokawa*
Affiliation:
Tokyo Institute of Technology
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Abstract

Consider a unknown realizable time-invariant linear filter driven by a point process. We are interested in the identification of this system, observing only the output random process. If the process is almost periodically correlated but not periodically correlated, we can identify the filter, using the second-order non-stationary spectrum of the process. We do not require the assumption that the filter is minimum phase.

Keywords

IDENTIFICATIONALMOST PERIODICALLY CORRELATED PROCESSSPECTRUMRENEWAL PROCESS
Type
Short Communications
Information
Journal of Applied Probability , Volume 19 , Issue 2 , June 1982 , pp. 456 - 462
Copyright
Copyright © Applied Probability Trust 1982 

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