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On some classes of nonstationary parametric processes. (English) Zbl 0977.62099

Summary: We investigate nonstationary stochastic processes that are characterized by temporal- and spectral-domain parameters with the aim of determining when temporal and spectral parametrizations exist simultaneously. We begin by examining the large class of purely nondeterministic nonstationary stochastic processes generated by passing white noise through a general linear time-varying filter. Then four subclasses of nonstationary parametric processes are studied:
(1) the rational class; (2) the rational adjoint class; (3) the well-known ARMA class; and (4) the ARMA adjoint class.
For each of these classes, we give membership conditions on the Green’s function. These conditions are used to determine when minimum-order parametrizations are unique. Next, we use these results to give precise conditions under which a unique minimum-order process is a member of one or more of these classes. Although these conditions are quite restrictive, examples are included to show that these conditions do not apply to nonunique minimum-order parametrizations.

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M15 Inference from stochastic processes and spectral analysis
93E03 Stochastic systems in control theory (general)
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