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Deconvolution of non-Gaussian linear processes with vanishing spectral values. (English) Zbl 0582.60052

We consider the problem of estimating the filter generating a non- Gaussian linear process and the deconvolution of that process when the spectral density of the process has zeros. Without using a minimum phase assumption we show that often if there are only finitely many zeros there are procedures to effect such an estimation and deconvolution.

MSC:

60G35 Signal detection and filtering (aspects of stochastic processes)
62M20 Inference from stochastic processes and prediction
93E11 Filtering in stochastic control theory