Maximum standardized cumulant deconvolution of non-Gaussian linear processes
From MaRDI portal
The author considers a linear process \(x_ t=\sum_{s\in G}u_ sw_{t-s}\), where \(u=\{u_ t\}\) is a strict white noise, G is a countable Abelian group and the system response sequence \(w=\{w_ t\}\) satisfies \(0<\sum_{t\in G}| w_ t|^ 2<\infty\). The concept of natural peakedness of w is defined and investigated. The convergence theory of maximum standardized cumulant deconvolution is presented and a relation between cumulant deconvolution and autoregressive models on G is given.
Recommendations
- scientific article; zbMATH DE number 3942620
- scientific article; zbMATH DE number 3898063
- Deconvolution of non-Gaussian linear processes with vanishing spectral values
- scientific article; zbMATH DE number 3907615
- Minimum entropy deconvolution of one- and multi-dimensional non-Gaussian linear random processes
Cited in
(6)- scientific article; zbMATH DE number 3942620 (Why is no real title available?)
- TIME-REVERSIBILITY, IDENTIFIABILITY AND INDEPENDENCE OF INNOVATIONS FOR STATIONARY TIME SERIES
- ESTIMATION AND BLIND DECONVOLUTION OF AUTOREGRESSIVE SYSTEMS WITH NONSTATIONARY BINARY INPUTS
- Identifiability and estimation of possibly non-invertible SVARMA models: the normalised canonical WHF parametrisation
- A nonstationary and non-Gaussian moving average model for solar irradiance
- Towards identification of shocks in linear state-space models: application to stochastic volatility model
This page was built for publication: Maximum standardized cumulant deconvolution of non-Gaussian linear processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q751716)
