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Estimation of impulse response functions in two-output systems

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  • Irina Blazhievska
  • Vladimir Zaiats

Abstract

A single input–double output (SIDO) linear time-invariant (LTI) system is considered, whose impulse response function (IRF) is assumed to have one unknown component. The problem is to estimate this unknown component after observations of the second component. Both IRF’s components are supposed to be L2-integrable, and the estimation is made by cross-correlating the outputs, given that the input is a standard Wiener process on R. Weak asymptotic normality of appropriately centred estimators is proved.

Suggested Citation

  • Irina Blazhievska & Vladimir Zaiats, 2020. "Estimation of impulse response functions in two-output systems," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 49(2), pages 257-280, January.
    • Handle: RePEc:taf:lstaxx:v:49:y:2020:i:2:p:257-280
    DOI: 10.1080/03610926.2018.1536210
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