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Moments of Random Variables: A Systems-Theoretic Interpretation

Padoan, A and Astolfi, A (2019) Moments of Random Variables: A Systems-Theoretic Interpretation. IEEE Transactions on Automatic Control, 64. pp. 4407-4422. ISSN 0018-9286

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Moments of continuous random variables admitting a probability density function are studied. We show that, under certain assumptions, the moments of a random variable can be characterized in terms of a Sylvester equation and of the steady-state output response of a specific interconnected system. This allows to interpret well-known notions and results of probability theory and statistics in the language of systems theory, including the sum of independent random variables, the notion of mixture distribution and results from renewal theory. The theory developed is based on tools from center manifold theory, the theory of the steady-state response of nonlinear systems, and the theory of output regulation. Our formalism is illustrated by means of several examples and can be easily adapted to the case of discrete and multivariate random variables.

Item Type: Article
Divisions: Div F > Control
Depositing User: Cron Job
Date Deposited: 27 Jan 2019 20:03
Last Modified: 31 Aug 2021 07:26
DOI: 10.1109/TAC.2019.2898167