A time series x(t), t≥1, is said to be an unstable ARMA process if x(t) satisfies an unstableARMA model such asx(t)=a_1x(t-1)+a_2x(t-2)+…+a_8x(t-s)+w(t)where w(t) is a stationary ARMA process; and the characteristic...A time series x(t), t≥1, is said to be an unstable ARMA process if x(t) satisfies an unstableARMA model such asx(t)=a_1x(t-1)+a_2x(t-2)+…+a_8x(t-s)+w(t)where w(t) is a stationary ARMA process; and the characteristic polynomial A(z)=1-a_1z-a_2z^2-…-a_3z^3 has all roots on the unit circle. Asymptotic behavior of sum form 1 to n (x^2(t)) will be studied by showing somerates of divergence of sum form 1 to n (x^2(t)). This kind of properties Will be used for getting the rates of convergenceof least squares estimates of parameters a_1, a_2,…, a_?展开更多
We propose a new approach to harmonic retrieval in colored ARMA noise. A suitable filter is first used to remove all the sharp power spectrum peaks of the noisy observed process, then some kinds of cross correlation i...We propose a new approach to harmonic retrieval in colored ARMA noise. A suitable filter is first used to remove all the sharp power spectrum peaks of the noisy observed process, then some kinds of cross correlation is employed to identify the noise characteristics. After filtering the noisy observed process with the identified noise characteristics again, SVD-TLS method can be applied to retrieve the harmonics. The proposed approach can be used to retrieve real-valued harmonic signals in colored ARMA noise with no restrictions on the phase coupling of harmonics and the distribution of the noise. Simulation examples show its effectiveness.展开更多
文摘A time series x(t), t≥1, is said to be an unstable ARMA process if x(t) satisfies an unstableARMA model such asx(t)=a_1x(t-1)+a_2x(t-2)+…+a_8x(t-s)+w(t)where w(t) is a stationary ARMA process; and the characteristic polynomial A(z)=1-a_1z-a_2z^2-…-a_3z^3 has all roots on the unit circle. Asymptotic behavior of sum form 1 to n (x^2(t)) will be studied by showing somerates of divergence of sum form 1 to n (x^2(t)). This kind of properties Will be used for getting the rates of convergenceof least squares estimates of parameters a_1, a_2,…, a_?
基金Supported by Shanghai Post & Telecom Administration-SJTU Inf. and Telecom Joint Lab Project (1999 -GR1-3)
文摘We propose a new approach to harmonic retrieval in colored ARMA noise. A suitable filter is first used to remove all the sharp power spectrum peaks of the noisy observed process, then some kinds of cross correlation is employed to identify the noise characteristics. After filtering the noisy observed process with the identified noise characteristics again, SVD-TLS method can be applied to retrieve the harmonics. The proposed approach can be used to retrieve real-valued harmonic signals in colored ARMA noise with no restrictions on the phase coupling of harmonics and the distribution of the noise. Simulation examples show its effectiveness.
