On the Reconstruction of the Covariance of Stationary Gaussian Processes Observed Through Zero Memory Nonlinearities. Part II.
NORTH CAROLINA UNIV AT CHAPEL HILL INST OF STATISTICS
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We consider the problem of reconstructing the variance R0 of a zero mean stationary Gaussian process observed through a zero memory nonlinearity fx, from the knowledge of f and the first two moments of the output process. The reconstruction is shown to be feasible for certain interval windows, convex nonlinearities and discontinuous unimodal nonlinearities. The paper is the completion of the investigation begun in Cambanis and Masry 1978 where the reconstruction of the normalized covariance RtR0 was considered. Author
- Statistics and Probability