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Identification of a Certain Stochastic Structure
Henry Teicher
Abstract
The structure $X_i$ = $U_i + \alpha U{i-1}$ with the $U_i$ identically and independently distributed (and $X_i$ observable) is analyzed with respect to the identifiability of the parameter $\alpha$ and the distribution of $U$. The so-called linear structural relationship is examined briefly.
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