On ARMA (Autoregressive Moving Average) Representations for White Noise in a Markovian Environment.
Abstract
Autoregressive moving average (ARMA) models are frequently used to describe disturbances associated with signals. Usually, such processes are discussed in the context of finite dimensional linear systems. In this note, the author shows, that ARMA models also occur in a rather different setting, namely as descriptions of white noise in a randomly varying environment. Such a result is useful in better understanding the proper role of ARMA processes in systems theory.
Document Details
- Document Type
- Technical Report
- Publication Date
- Oct 01, 1983
- Accession Number
- ADA136354
Entities
People
- P. W. Glynn
Organizations
- University of Wisconsin–Madison