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A VAR model describes the evolution of a set of k variables, called endogenous variables, over time. ... which is a particular impulse response, ...
The impulse response of a linear transformation is the image of Dirac's delta function under the transformation, analogous to the fundamental solution of a partial differential operator. It is usually easier to analyze systems using transfer functions as opposed to impulse responses. The transfer function is the Laplace transform of the impulse ...
The impulse response of a system is the change in an evolving variable in response to a change in the value of a shock term k periods earlier, as a function of k. Since the AR model is a special case of the vector autoregressive model, the computation of the impulse response in vector autoregression#impulse response applies here.
ARMA is essentially an infinite impulse response filter applied to white noise, with some additional interpretation placed on it. In digital signal processing, ARMA is represented as a digital filter with white noise at the input and the ARMA process at the output.
The impulse response can be computed to any desired degree of accuracy by choosing a suitable approximation for δ, and once it is known, it characterizes the system completely. See LTI system theory § Impulse response and convolution. The inverse Fourier transform of the tempered distribution f(ξ) = 1 is the delta function.
In electrical engineering, the convolution of one function (the input signal) with a second function (the impulse response) gives the output of a linear time-invariant system (LTI). At any given moment, the output is an accumulated effect of all the prior values of the input function, with the most recent values typically having the most ...
If a system initially rests at its equilibrium position, from where it is acted upon by a unit-impulse at the instance t=0, i.e., p(t) in the equation above is a Dirac delta function δ(t), () = | = =, then by solving the differential equation one can get a fundamental solution (known as a unit-impulse response function)
The impulse responses of two exponentially stable systems. The graph on the right shows the impulse response of two similar systems. The green curve is the response of the system with impulse response () =, while the blue represents the system () = ().