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Linear processes and bispectra

Published online by Cambridge University Press:  14 July 2016

M. Rosenblatt
M. Rosenblatt*
Affiliation:
University of California, San Diego
*
∗Postal address: Department of Mathematics, University of California, San Diego, La Jolla, CA 92093, U.S.A.
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Abstract

A linear process is generated by applying a linear filter to independent, identically distributed random variables. Only the modulus of the frequency response function can be estimated if only the linear process is observed and if the independent identically distributed random variables are Gaussian. In this case a number of distinct but related problems coalesce and the usual discussion of these problems assumes, for example, in the case of a moving average that the zeros of the polynomial given by the filter have modulus greater than one. However, if the independent identically distributed random variables are non-Gaussian, these problems become distinct and one can estimate the transfer function under appropriate conditions except for a possible linear phase shift by using higher-order spectral estimates.

Keywords

LINEAR PROCESSBISPECTRUMNON-GAUSSIANFREQUENCY RESPONSE FUNCTIONMODULUSPHASEAUTOREGRESSIVE MOVING AVERAGE MODELLINEAR AND NONLINEAR PREDICTIONESTIMATION
Type
Short Communications
Information
Journal of Applied Probability , Volume 17 , Issue 1 , March 1980 , pp. 265 - 270
Copyright
Copyright © Applied Probability Trust 1980 

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Footnotes

Research partially supported by the Office of Naval Research Contract N00014–75–C–0428.

References

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