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Backward shift operator - PowerPoint PPT Presentation

Stochastic models - time series.

Stochastic models - time series. Random process . an infinite collection of consistent distributions probabilities exist Random function . a family of random variables, e.g. {Y(t), t in Z}. Specified if given

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559 views • 24 slides

Algebra U = ? a(t) Y(t) E{U} = c Y ? a(t) cov{U,V} = ? a(s) b(t) c YY (s-t)

Algebra U = ? a(t) Y(t) E{U} = c Y ? a(t) cov{U,V} = ? a(s) b(t) c YY (s-t) U is gaussian if {Y(t)} gaussian. Some useful stochastic models. Purely random / white noise (i.i.d.) (often mean assumed 0) c YY (u) = cov(Y(t+u),Y(t)} = ? Y 2 if u = 0

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309 views • 18 slides

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'Backward shift operator' diaporamas de présentation

Backward shift operator - PowerPoint PPT Presentation

Stochastic models - time series.

Algebra U = ? a(t) Y(t) E{U} = c Y ? a(t) cov{U,V} = ? a(s) b(t) c YY (s-t)