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scientific article; zbMATH DE number 1337341
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scientific article; zbMATH DE number 1337341 |
Statements
15 September 1999
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asymptotic normality
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linear systems
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impulse response functions
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stationary Gaussian processes
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The authors study the causal linear systems \[ Y_{\Delta}(t)=\int_0^{\infty}H(\tau)X_{\Delta}(t-\tau)d\tau,\quad H(\tau)=0,\quad \tau\leq 0. \] They consider systems for \(X_{\Delta},\) which is not a white noise. Properties of the estimates \[ \widehat H_{T,\Delta}(\tau)=(cT)^{-1} \int_0^T X_{\Delta}(t)Y_{\Delta}(t+\tau)dt \] of the impulse response function \(H\) for stationary Gaussian \(X_{\Delta}\) are obtained. Asymptotic properties of the correlation function of \[ Z_{T,\Delta}(\tau)=\sqrt{T}[ \widehat H_{T,\Delta}(\tau)-E \widehat H_{T,\Delta}(\tau)] \] are considered.
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