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Random filters which preserve the stability of random inputs

Published online by Cambridge University Press:  01 July 2016

Stamatis Cambanis
Stamatis Cambanis*
Affiliation:
University of North Carolina
*
∗Postal address: Department of Statistics, University of North Carolina, Chapel Hill, NC 27514, USA.
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Abstract

A stationary stable random processes goes through an independently distributed random linear filter. It is shown that when the input is Gaussian or harmonizable stable, then the output is also stable provided the filter&s transfer function has non-random gain. In contrast, when the input is a non-Gaussian stable moving average, then the output is stable provided the filter&s randomness is due only to a random global sign and time shift.

Keywords

GAUSSIAN PROCESSESSTABLE PROCESSESFILTER CHARACTERIZATION AND IDENTIFICATION
Type
Research Article
Information
Advances in Applied Probability , Volume 20 , Issue 2 , June 1988 , pp. 275 - 294
Copyright
Copyright © Applied Probability Trust 1988 

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Footnotes

Research supported by the Air Force Office of Scientific Research grant number F49620 85 C 0144.

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