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PubMed · 8901544

What is a linear process?

P J Bickel·P Bühlmann
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Abstract

We argue that given even an infinitely long data sequence, it is impossible (with any test statistic) to distinguish perfectly between linear and nonlinear processes (including slightly noisy chaotic processes). Our approach is to consider the set of moving-average (linear) processes and study its closure under a suitable metric. We give the precise characterization of this closure, which is unexpectedly large, containing nonergodic processes, which are Poisson sums of independent and identically distributed copies of a stationary process. Proofs of these results will appear elsewhere.

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Linear ModelsNonlinear DynamicsJournal ArticleResearch Support, Non-U.S. Gov'tResearch Support, U.S. Gov't, Non-P.H.S.

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P J Bickel, P Bühlmann. 1996-10-29. What is a linear process?. https://doi.org/10.1073/pnas.93.22.12128

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