Band-Limited Stochastic Processes in Discrete and Continuous Time
نویسندگان
چکیده
منابع مشابه
Band-Limited Stochastic Processes in Discrete and Continuous Time
In the theory of stochastic differential equations, it is commonly assumed that the forcing function is a Wiener process. Such a process has an infinite bandwidth in the frequency domain. In practice, however, all stochastic processes have a limited bandwidth. A theory of band-limited linear stochastic processes is described that reflects this reality, and it is shown how the corresponding ARMA...
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ژورنال
عنوان ژورنال: Studies in Nonlinear Dynamics & Econometrics
سال: 2012
ISSN: 1558-3708
DOI: 10.1515/1558-3708.1849