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Parametric estimates of higher-order spectra of non-Gaussian statistically related processes

V. A. Tikhonov


The eigenfunctions and eigenvectors of the operators of autoregression and of sliding mean are defined in the time and frequency representation. Transformation of higher-order spectra of the non-Gaussian white noise by systems, described by linear prediction models, is analyzed. Expressions are derived for parametric estimation of higher-order spectra of non-Gaussian processes.

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