You are not currently logged in.
Access your personal account or get JSTOR access through your library or other institution:
If You Use a Screen ReaderThis content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
The Identification of a Particular Nonlinear Time Series System
David R. Brillinger
Vol. 64, No. 3 (Dec., 1977), pp. 509-515
Stable URL: http://www.jstor.org/stable/2345326
Page Count: 7
Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Preview not available
A nonlinear time series system is considered. The system has the property that the output series corresponding to a given input series is the sum of a noise series and the result of applying in turn the operations of linear filtering, instantaneous functional composition and linear filtering to the input series. Given a stretch of Gaussian input series and corresponding output series, estimates are constructed of the transfer functions of the linear filters, up to constant multipliers. The investigation discloses that for such a system, the best linear predictor of the output given Gaussian input, has a broader interpretation than might be suspected. The result is derived from a simple expression for the covariance function of a normal variate with a function of a jointly normal variate.
Biometrika © 1977 Biometrika Trust