Lemke, T and Godsill, SJ (2011) Enhanced poisson sum representation for alpha-stable processes. ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings. pp. 4100-4103. ISSN 1520-6149Full text not available from this repository.
In this paper we present Poisson sum series representations for α-stable (αS) random variables and a-stable processes, in particular concentrating on continuous-time autoregressive (CAR) models driven by α-stable Lévy processes. Our representations aim to provide a conditionally Gaussian framework, which will allow parameter estimation using Rao-Blackwellised versions of state of the art Bayesian computational methods such as particle filters and Markov chain Monte Carlo (MCMC). To overcome the issues due to truncation of the series, novel residual approximations are developed. Simulations demonstrate the potential of these Poisson sum representations for inference in otherwise intractable α-stable models. © 2011 IEEE.
|Uncontrolled Keywords:||α-stable Lévy process conditionally Gaussian Poisson sum representation residual approximation|
|Divisions:||Div F > Signal Processing and Communications|
|Depositing User:||Cron job|
|Date Deposited:||04 Feb 2015 22:30|
|Last Modified:||01 May 2015 19:29|