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On a class of nonstationary signals

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1 Author(s)
S. Li ; Dept. of Electr. Eng., Texas A&M Univ., College Station, TX, USA

The author is concerned with a class of nonstationary processes described by the piecewise ARMA (autoregressive moving-average) models, whose parameters change abruptly (or jump) at some unknown times. Two different models are examined and the statistics of this type of processes are studied. It is shown that the means of such processes do not depend on the jumps, while the autocovariance functions change gradually after the parameter jump and follow certain interesting patterns

Published in:

Acoustics, Speech, and Signal Processing, 1988. ICASSP-88., 1988 International Conference on

Date of Conference:

11-14 Apr 1988