Statistical Estimation and Hypothesis Testing on Impulse Response Function
DOI:
https://doi.org/10.17713/ajs.v54i1.1977Abstract
In this paper a time-invariant continuous linear system is considered with a real-valued impulse response function (IRF) which is defined on a bounded domain. A sample input- output cross-correlogram is taken as an estimator of the response function. The input processes are supposed to be zero-mean stationary Gaussian process and can be repre- sented as a finite sum with uncorrelated terms. A rate of convergence of IRF estimator in the space L2([0,Λ]) is obtained that gives a possibility to propose a nonparametric goodness-of-fit testing on IRF.
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Copyright (c) 2025 Iryna Rozora, Anastasiia Melnyk
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