CUED Publications database

Enhanced poisson sum representation for alpha-stable processes

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 1520-6149

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Abstract

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.

Item Type: Article
Uncontrolled Keywords: α-stable Lévy process conditionally Gaussian Poisson sum representation residual approximation
Subjects: UNSPECIFIED
Divisions: Div F > Signal Processing and Communications
Depositing User: Cron Job
Date Deposited: 07 Mar 2014 11:57
Last Modified: 27 Nov 2014 19:19
DOI: 10.1109/ICASSP.2011.5947254