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Random filters which preserve the stability of random inputs
Published online by Cambridge University Press: 01 July 2016
Abstract
A stationary stable random processes goes through an independently distributed random linear filter. It is shown that when the input is Gaussian or harmonizable stable, then the output is also stable provided the filter&s transfer function has non-random gain. In contrast, when the input is a non-Gaussian stable moving average, then the output is stable provided the filter&s randomness is due only to a random global sign and time shift.
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- Research Article
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- Copyright © Applied Probability Trust 1988
Footnotes
Research supported by the Air Force Office of Scientific Research grant number F49620 85 C 0144.