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Stochastic fm models and non-linear time series analysis

Part of: Stochastic processes Limit theorems

Published online by Cambridge University Press:  01 July 2016

D. Huang
D. Huang*
Affiliation:
Queensland University of Technology
*
* Postal address: School of Mathematics, Queensland University of Technology, GPO Box 2434, Brisbane, QLD 4001, Australia.
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Abstract

An important model in communications is the stochastic FM signal st = A cos , where the message process {m t} is a stochastic process. In this paper, we investigate the linear models and limit distributions of FM signals. Firstly, we show that this non-linear model in the frequency domain can be converted to an ARMA (2, q + 1) model in the time domain when {mt } is a Gaussian MA (q) sequence. The spectral density of {St } can then be solved easily for MA message processes. Also, an error bound is given for an ARMA approximation for more general message processes. Secondly, we show that {St } is asymptotically strictly stationary if {mt } is a Markov chain satisfying a certain condition on its transition kernel. Also, we find the limit distribution of st for some message processes {mt }. These results show that a joint method of probability theory, linear and non-linear time series analysis can yield fruitful results. They also have significance for FM modulation and demodulation in communications.

Keywords

FM SIGNAL IN COMMUNICATIONSSPECTRAL ANALYSISARMA MODELSARMA APPROXIMATION AND ERROR BOUNDERGODIC MARKOV CHAINASYMPTOTICALLY STRICTLY STATIONARYLIMIT DISTRIBUTIONNON-LINEAR TIME SERIES

MSC classification

Primary: 60F05: Central limit and other weak theorems 60G10: Stationary processes 60G35: Signal detection and filtering

Information

Type
General Applied Probability
Information
Advances in Applied Probability , Volume 29 , Issue 4 , December 1997 , pp. 986 - 1003
Copyright
Copyright © Probability Trust 1997 

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