Abstract
A major reason for the success of linear autoregressive (AR) modeling is that Kolmogrorov proved that every linear system could be represented by a linear AR model of infinite order. The computation of a finite order AR approximation is, of course, the practical goal. In this paper, we prove that every nonlinear system with a Volterra series expansion 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.
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