NONLINEAR AR MODELING

A major reason for the success of linear autoregressive (AR) modeling is that Kolmogrorov proved that every linear system could be represent ed by a linear AR model of infinite order. The computation of a finite order AR approximation is, of course, the practical goal. In this pap er, we prove that every nonlinear system with a Volterra series expans ion can be represented as a nonlinear AR model of infinite order. Our method shows how an approximation to any desired order and degree can be achieved.