Linear Processes

Chapter
Part of the Mathématiques et Applications book series (MATHAPPLIC, volume 80)

Abstract

We consider stationary sequences generated through independent identically distributed \((\xi _n)_{n\in \mathbb {Z}}\). A reference is Brockwell and Davis (Time series: theory and methods. Springer, New York, 1991). Such models are natural in signal theory since they appear through linear filtering of a white noise. The usual setting is that \((\xi _n)_{n\in \mathbb {Z}}\) is only a \(\mathbb {L}^2 \)-stationary white noise sequence and not an independent identically distributed sequence.

Copyright information

© Springer International Publishing AG, part of Springer Nature 2018

Authors and Affiliations

  1. 1.Laboratory of MathematicsUniversity Cergy-PontoiseCergy-PontoiseFrance

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