The identification of a particular nonlinear time series system

Summary

A nonlinear time series system is considered. The system has the property that the output series corresponding to a given input series is the sum of a noise series and the result of applying in turn the operations of linear filtering, instantaneous functional composition and linear filtering to the input series. Given a stretch of Gaussian input series and corresponding output series, estimates are constructed of the transfer functions of the linear filters, up to constant multipliers. The investigation discloses that for such a system, the best linear predictor of the output given Gaussian input, has a broader interpretation than might be suspected. The result is derived from a simple expression for the covariance function of a normal variate with a function of a jointly normal variate.