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Exact(9)
Recursive filters are brought into this framework in the time-invariant case by dealing directly with their impulse response, or the so called moving average representation.
This algorithm uses an expansion of the moving average representation of a Gaussian random field via a specific orthonormal basis which exploits the scaling behavior of the random field and yields a compact representation of the field despite infrared divergence.
The coefficients for the moving average representation for (i_{t}) has already been found in (4.12).
The computation of the forecast standard errors for the series is classic using the so-called (psi ) weights of the pure moving average representation of the process.
The coefficients of the moving average representation for (nabla p_{t}) have already been found in (4.9) up to a factor (V_{P}/V).
It is easier to present the derivation of the components using the Wiener-Kolmogorov filters before discussing the moving average representation.
Similar(51)
First, we devise algorithms for fast exact computation of the coefficients in the infinite order autoregressive and moving average representations of a FEXP process.
Now we are able to examine the moving averages representations and in particular the (psi )-weights that precede the filters in the output.
Sherif in his dissertation has emphasized the non-stationary nature of the EMG and used an AR, integrated moving average (ARIMA) representation.
Representation (2.3) can be obtained by using the moving average expression of the fractional Brownian motion.
For a stable representation, the CSP coefficients should be processed as a moving average using several frames around T, as long as the sound source is not moving, using.
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Justyna Jupowicz-Kozak
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