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Statistical hypothesis testing for the shape of impulse response function

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  • Iryna V. Rozora

Abstract

The problem of estimation of unknown response function of a time-invariant continuous linear system is considered. Integral sample input–output cross-correlogram is taken as an estimator of the response function. The inputs are supposed to be zero-mean stationary Gaussian process. A criterion on the shape of impulse response function is given. For this purpose, we apply a theory of square–Gaussian random processes and estimate the probability that supremum of square–Gaussian process exceeds the level specified by some function.

Suggested Citation

  • Iryna V. Rozora, 2018. "Statistical hypothesis testing for the shape of impulse response function," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 47(6), pages 1459-1474, March.
    • Handle: RePEc:taf:lstaxx:v:47:y:2018:i:6:p:1459-1474
    DOI: 10.1080/03610926.2017.1321125
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    Cited by:

    1. Rozora Iryna & Lyzhechko Mariia, 2018. "On the modeling of linear system input stochastic processes with given accuracy and reliability," Monte Carlo Methods and Applications, De Gruyter, vol. 24(2), pages 129-137, June.

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