An identification problem in almost and asymptotically almost periodically correlated processes
- 1 June 1982
- journal article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 19 (2) , 456-462
- https://doi.org/10.2307/3213501
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
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