Cross-correlogram estimators of impulse response functions

DOI10.1090/TPMS/995MaRDI QIDQ2960459zbMATH OpenOpenAlexFDO

Authors Iryna Rozora, Yu. V. Kozachenko

Publication date 9 February 2017

Published in Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1090/tpms/995

zbMATH Keywords

correlogramlarge deviation probabilitiesimpulse response function

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Inequalities; stochastic orderings (60E15) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• scientific article; zbMATH DE number 1194421 (Why is no real title available?)
• scientific article; zbMATH DE number 1204367 (Why is no real title available?)
• scientific article; zbMATH DE number 1258863 (Why is no real title available?)
• scientific article; zbMATH DE number 1337341 (Why is no real title available?)
• scientific article; zbMATH DE number 2073345 (Why is no real title available?)
• Asymptotic normality of cross-correlogram estimates of the response function
• Modelling of stochastic processes and fields
• On cross-correlogram estimators of the response function in continuous linear systems from discrete observations

Cited in

(11)

• On statistical properties of the estimator of impulse response function
• Construction of the Karhunen-Loève model for an input Gaussian process in a linear system by using the output process
• Some cross correlation properties for distorted signals
• Generalized Cross-Correlation, Part II: Discretization of Generalized Cross-Correlation and Progress to Date in Its Implementation
• Simulation of Gaussian stationary Ornstein-Uhlenbeck process with given reliability and accuracy in space \(C([0,T])\)
• On cross-correlogram IRF’s estimators of two-output systems in spaces of continuous functions
• Estimation of impulse response functions in two-output systems
• On cross-correlogram estimators of the response function in continuous linear systems from discrete observations
• Spectral estimation of the multivariate impulse response
• Statistical hypothesis testing for the shape of impulse response function
• Cross-/ auto-correlation of time-varying signals using block pulse functions and determination of power spectral densities

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