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SUMMARY:On the Statistical Properties of Impulse Response Function Estimat
 ors
DTSTART;VALUE=DATE-TIME:20260527T140000Z
DTEND;VALUE=DATE-TIME:20260527T150000Z
DTSTAMP;VALUE=DATE-TIME:20260601T191800Z
UID:indico-event-2148@events.imath.kiev.ua
DESCRIPTION:Speakers: Iryna  Rozora (Taras Shevchenko National University 
 of Kyiv)\n\nEstimating stochastic linear systems using Impulse Response Fu
 nctions (IRFs) is a fundamental problem with broad relevance across multip
 le disciplines. IRFs describe how a system responds to external inputs\, p
 roviding essential insights into system behavior and control. Such analyse
 s have important applications in signal processing\, control theory\, econ
 ometrics\, oceanography\, and related fields.\n\nIn this talk\, I will foc
 us on the estimation of IRFs for Single-Input Single-Output (SISO) systems
 . We consider a time-invariant continuous linear system driven by zero-mea
 n stationary Gaussian input processes. The aim of the study is to develop 
 a method for estimating the unknown IRF based on observations of both the 
 system’s input and output signals. Our approach is based on a cross-corr
 elogram estimator\, which computes the correlation between the input and o
 utput processes. We establish conditions for asymptotic unbiasedness and c
 onsistency\, analyze the rate of convergence\, and propose a statistical g
 oodness-of-fit test for validating the estimated IRF. The theoretical resu
 lts are supported by numerical simulations.\n\nhttps://events.imath.kiev.u
 a/event/2148/
LOCATION:https://knu-ua.zoom.us/j/89643295643?pwd=eTBZZSt0d0thZzFyaUhDUFNG
 TVE3QT09 (ONLINE)
URL:https://events.imath.kiev.ua/event/2148/
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