Parametric modeling of periodically correlated random processes by their representation through stationary random processes

Authors

  • Ihor N. Yavorskyj Karpenko Physico-Mechanical Institute of NASU; University of Technology and Life Sciences, Ukraine https://orcid.org/0000-0002-6533-3186
  • I. B. Kravets Karpenko Physico-Mechanical Institute of NASU, Ukraine
  • I. Yu. Isayev Karpenko Physico-Mechanical Institute of NASU, Ukraine

DOI:

https://doi.org/10.3103/S0735272706110057

Abstract

Theoretical and experimental modeling results of periodically correlated random processes (PCRP) are presented. Representation through stationary random processes is used for construction of PCRP model. Dependence of PCRP modeling accuracy on parameters of correlation functions of stationary components is investigated. The offered algorithm of PCRP parametric modeling is suitable for generating signals with rhythmic structure.

References

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BOX, G.E.P.; JENKINS, G.M. Time Series Analysis: Forecasting and Control. San Francisco: Holden-Day, 1976.

PAGANO, M. "On periodic and multiple autoregressions," Annals of Statistics, v.6, n.6, р.1310-1317, 1978. URI: https://www.jstor.org/stable/2958718.

OGURA, H. "Spectral representation of a periodic nonstationary random process," IEEE Trans. Inf. Theory, v.17, n.2, p.143-149, 1971. DOI: https://doi.org/10.1109/TIT.1971.1054612.

MARPLE, S.L. Digital Spectral Analysis: With Applications. New Jersey: Prentice-Hall, Inc., 1987.

Published

2006-11-05

Issue

Section

Research Articles