On Non-Gaussian Stochastic Parametrization

被引：0
|
作者：
Dewilde, Patrick [1 ]
机构：
[1] IEEE Life Fellow, Piscataway, NJ USA
来源：
2021 SIGNAL PROCESSING SYMPOSIUM (SPSYMPO) | 2021年
关键词：
parametrization; stochastic variables; non-Gaussian; stochastic modeling; multivariable orthogonalization;
D O I：
10.1109/SPSYMPO51155.2020.9593873
中图分类号：
TM [电工技术]; TN [电子技术、通信技术];
学科分类号：
0808 ; 0809 ;
摘要：
The paper addresses the question of parametrization with independent parameters for a multi-variable, non-Gaussian set of stochastic variables, based on higher order moments. The issue is particularly relevant for the construction of low-complexity models that meet measured correlation data between powers of the variables. It turns out that such a parametrization exists in the case where the correlation data is stricty ordered by increasing degree, and the paper shows in outline how it can be constructed.
引用
收藏
页码：46 / 51
页数：6
相关论文
共 50 条
  • [1] Stochastic Energetics for Non-Gaussian Processes
    Kanazawa, Kiyoshi
    Sagawa, Takahiro
    Hayakawa, Hisao
    [J]. PHYSICAL REVIEW LETTERS, 2012, 108 (21)
  • [2] SUBORDINATION OF NON-GAUSSIAN STOCHASTIC PROCESSES
    BOCHNER, S
    [J]. PROCEEDINGS OF THE NATIONAL ACADEMY OF SCIENCES OF THE UNITED STATES OF AMERICA, 1962, 48 (01) : 19 - &
  • [3] Identification of Non-Gaussian Stochastic System
    Park, Sung-man
    Kwon, O-shin
    Kim, Jin-sung
    Lee, Jong-bok
    Heo, Hoon
    [J]. JOURNAL OF DYNAMIC SYSTEMS MEASUREMENT AND CONTROL-TRANSACTIONS OF THE ASME, 2014, 136 (04):
  • [4] Non-Gaussian models for stochastic mechanics
    Grigoriu, M
    [J]. PROBABILISTIC ENGINEERING MECHANICS, 2000, 15 (01) : 15 - 23
  • [5] A non-Gaussian stochastic linearization method
    Ricciardi, Giuseppe
    [J]. PROBABILISTIC ENGINEERING MECHANICS, 2007, 22 (01) : 1 - 11
  • [6] Robust iterative learning control of output PDF in non-Gaussian stochastic systems using Youla parametrization
    Afshar, Puya
    Yue, Hong
    Wang, Hong
    [J]. 2007 AMERICAN CONTROL CONFERENCE, VOLS 1-13, 2007, : 3320 - 3325
  • [7] Non-Gaussian, non-dynamical stochastic resonance
    Szczepaniec, Krzysztof
    Dybiec, Bartlomiej
    [J]. EUROPEAN PHYSICAL JOURNAL B, 2013, 86 (11):
  • [8] Non-Gaussian, non-dynamical stochastic resonance
    Krzysztof Szczepaniec
    Bartłomiej Dybiec
    [J]. The European Physical Journal B, 2013, 86
  • [9] ON RATES OF CONVERGENCE OF STOCHASTIC RELAXATION FOR GAUSSIAN AND NON-GAUSSIAN DISTRIBUTIONS
    AMIT, Y
    [J]. JOURNAL OF MULTIVARIATE ANALYSIS, 1991, 38 (01) : 82 - 99
  • [10] Optimal non-Gaussian search with stochastic resetting
    Stanislavsky, Aleksander
    Weron, Aleksander
    [J]. PHYSICAL REVIEW E, 2021, 104 (01)
12345