| Autor: |
Valery V. Buldygin, Frederic Utzet, Vladimir Zaiats |
| Rok vydání: |
2004 |
| Předmět: |
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| Zdroj: |
Statistical Inference for Stochastic Processes. 7:1-34 |
| ISSN: |
1387-0874 |
| DOI: |
10.1023/b:sisp.0000016454.89610.35 |
| Popis: |
The problem of estimation of an unknown response function of a time-invariant continuous linear system is considered. Discrete-time sample input–output cross-correlograms are taken as estimates of the response function. The inputs are supposed to be zero-mean stationary Gaussian processes close, in some sense, to a white noise. Both asymptotic normality of finite-dimensional distributions of the estimates and their asymptotic normality in spaces of continuous functions are studied. Our basic tool is a new integral representation for cumulants of the estimate as a finite sum of integrals involving cyclic products of kernels. Some inequalities for these integrals are obtained and their asymptotic behaviour is studied. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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