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A complex generalized model of autoregression of non-Gaussian processes

V. A. Tikhonov, K. V. Netrebenko

Abstract


The paper is devoted to the problem of generation of higher-order statistics for complex non-Gaussian random processes. The generalized complex autoregressive models based on the moment functions are set up. A technique is developed for generation of complex non-Gaussian random processes by prescribed parameters of higher-order spectra.

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References


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DOI: https://doi.org/10.3103/S0735272706080036

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