A Consideration on the Modeling of a Nonstationary ARMA Process

Tosiro KOGA  Haiyang GAO  

IEICE TRANSACTIONS (1976-1990)   Vol.E73   No.11   pp.1800-1801
Publication Date: 1990/11/25
Online ISSN: 
Print ISSN: 0000-0000
Type of Manuscript: Special Section LETTER (Special Issue on 1990 Autumn Natl. Conv. IEICE)
Category: Signals, Circuits and Images

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This letter considers the problem of modeling a nonstationary Gaussian ARMA process. The corresponding approximation problem is formulated on the basis of the theory of canonical representation of the Gaussian process. Further, it will be shown that the solution can be obtained by solving a set of linear equations, as an extension of the Padé approximation established in the stationary case.