Title :
On a class of nonstationary signals
Author_Institution :
Dept. of Electr. Eng., Texas A&M Univ., College Station, TX, USA
Abstract :
The author is concerned with a class of nonstationary processes described by the piecewise ARMA (autoregressive moving-average) models, whose parameters change abruptly (or jump) at some unknown times. Two different models are examined and the statistics of this type of processes are studied. It is shown that the means of such processes do not depend on the jumps, while the autocovariance functions change gradually after the parameter jump and follow certain interesting patterns
Keywords :
signal processing; statistics; ARMA model; autocovariance functions; autoregressive moving-average; nonstationary signals; parameter jump; statistics; Adaptive estimation; Brain modeling; Communication system control; Econometrics; Kalman filters; Process control; Production facilities; Random processes; Signal processing; Statistics;
Conference_Titel :
Acoustics, Speech, and Signal Processing, 1988. ICASSP-88., 1988 International Conference on
Conference_Location :
New York, NY
DOI :
10.1109/ICASSP.1988.197069
