A linear process is represented as a driving white noise convolved with a system response sequence. The concept of natural peakedness of a system response sequence is defined and its properties are investigated. Utilizing natural peakedness, the convergence theory of maximum standardized cumulant deconvolution is established and the uniqueness theorem of non-Gaussian linear process representations is proved. In addition, autoregressive models on a countable abelian group are defined and the relation between cumulant deconvolution and autoregressive models is given.
Publié le : 1990-12-14
Classification:
Non-Gaussian linear processes,
maximum standardized cumulant deconvolution,
62M10,
60G10,
62M15
@article{1176347877,
author = {Cheng, Qiansheng},
title = {Maximum Standardized Cumulant Deconvolution of Non-Gaussian Linear Processes},
journal = {Ann. Statist.},
volume = {18},
number = {1},
year = {1990},
pages = { 1774-1783},
language = {en},
url = {http://dml.mathdoc.fr/item/1176347877}
}
Cheng, Qiansheng. Maximum Standardized Cumulant Deconvolution of Non-Gaussian Linear Processes. Ann. Statist., Tome 18 (1990) no. 1, pp. 1774-1783. http://gdmltest.u-ga.fr/item/1176347877/