Nonstationary autoregressive processes (Corresp.)
- 1 March 1969
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Information Theory
- Vol. 15 (2), 315-316
- https://doi.org/10.1109/tit.1969.1054289
Abstract
LetRy_{t} = u_{t}be a stochastic difference equation. Various relations between the input and output covariances and spectral densities are deduced under the hypotheses thatRis time dependent and thatu_{t}is a member of a nonstationary random process.Keywords
This publication has 4 references indexed in Scilit:
- A correlation result for nonstationary inputsQuarterly of Applied Mathematics, 1966
- Output covariance functionsProceedings of the IEEE, 1966
- A note on input-output spectral densitiesQuarterly of Applied Mathematics, 1963
- Properties of impulsive responses and Green's functionsIRE Transactions on Circuit Theory, 1955