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APPROXIMATE SIMULATION OF LINEAR CONTINUOUS TIME MODELS DRIVEN BY ASYMMETRIC STABLE LÉVY PROCESSES

Abstract: 

In this paper we extend to the multidimensional case the modified Poisson series representation of linear stochastic processes driven by $\alpha$-stable innovations. The latter has been recently introduced in the literature and it involves a Gaussian approximation of the residuals of the series, via the exact characterization of their moments. This allows for Bayesian techniques for parameter or state inference that would not be available otherwise, due to the lack of a closed-form likelihood function for the $\alpha$-stable distribution. Simulation results are presented to validate the introduced extension and the quality of the approximation of the distribution. Finally, we show an example of generation from the process.

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Paper Details

Authors:
Marina Riabiz, Simon Godsill
Submitted On:
7 March 2017 - 12:52pm
Short Link:
Type:
Poster
Event:
Presenter's Name:
Marina Riabiz
Paper Code:
3542
Document Year:
2017
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ICASSP.pdf

(453 downloads)

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[1] Marina Riabiz, Simon Godsill, "APPROXIMATE SIMULATION OF LINEAR CONTINUOUS TIME MODELS DRIVEN BY ASYMMETRIC STABLE LÉVY PROCESSES", IEEE SigPort, 2017. [Online]. Available: http://sigport.org/1689. Accessed: Oct. 18, 2017.
@article{1689-17,
url = {http://sigport.org/1689},
author = {Marina Riabiz; Simon Godsill },
publisher = {IEEE SigPort},
title = {APPROXIMATE SIMULATION OF LINEAR CONTINUOUS TIME MODELS DRIVEN BY ASYMMETRIC STABLE LÉVY PROCESSES},
year = {2017} }
TY - EJOUR
T1 - APPROXIMATE SIMULATION OF LINEAR CONTINUOUS TIME MODELS DRIVEN BY ASYMMETRIC STABLE LÉVY PROCESSES
AU - Marina Riabiz; Simon Godsill
PY - 2017
PB - IEEE SigPort
UR - http://sigport.org/1689
ER -
Marina Riabiz, Simon Godsill. (2017). APPROXIMATE SIMULATION OF LINEAR CONTINUOUS TIME MODELS DRIVEN BY ASYMMETRIC STABLE LÉVY PROCESSES. IEEE SigPort. http://sigport.org/1689
Marina Riabiz, Simon Godsill, 2017. APPROXIMATE SIMULATION OF LINEAR CONTINUOUS TIME MODELS DRIVEN BY ASYMMETRIC STABLE LÉVY PROCESSES. Available at: http://sigport.org/1689.
Marina Riabiz, Simon Godsill. (2017). "APPROXIMATE SIMULATION OF LINEAR CONTINUOUS TIME MODELS DRIVEN BY ASYMMETRIC STABLE LÉVY PROCESSES." Web.
1. Marina Riabiz, Simon Godsill. APPROXIMATE SIMULATION OF LINEAR CONTINUOUS TIME MODELS DRIVEN BY ASYMMETRIC STABLE LÉVY PROCESSES [Internet]. IEEE SigPort; 2017. Available from : http://sigport.org/1689