Reversibility and Identifiability

  • Murray Rosenblatt
Part of the Springer Series in Statistics book series (SSS)

Abstract

Let us first consider linear stationary sequences. A sequence of independent, identically distributed real random variables ξj, j = …, -1,0,1,… is given with Eξj = 0, 0 < Eξ j 2 = σ2 < ∞. The process xj is obtained by passing this sequence through a linear filter characterized by the real weights, a j , ∑a j 2 < ∞,
$$ {x_{t}} = \sum\limits_{{j = - \infty }}^{\infty } {{a_{j}}\xi t - j.} $$
(1.1.1)

Keywords

Covariance 

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Copyright information

© Springer Science+Business Media New York 2000

Authors and Affiliations

  • Murray Rosenblatt
    • 1
  1. 1.Department of MathematicsUniversity of CaliforniaSan Diego La JollaUSA

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