搜索结果: 1-15 共查到“理论统计学 Filtering”相关记录21条 . 查询时间(0.062 秒)
l_1 Trend Filtering
detrending regularization Hodrick–Prescott fi ltering piecewise linear fi tting
2015/7/9
The problem of estimating underlying trends in time series data arises in a variety of disciplines. In this paper we propose a variation on Hodrick-Prescott (H-P) filtering, a widely used method for t...
A general approach of least squares estimation and optimal filtering
Least squares Optimal filtering Matched filter Noise Optimization Power Spectrum Density
2013/6/17
The least squares method allows fitting parameters of a mathematical model from experimental data. This article proposes a general approach of this method. After introducing the method and giving a fo...
Infinite-dimensional Bayesian filtering for detection of quasi-periodic phenomena in spatio-temporal data
Infinite-dimensional Bayesian filtering detection of quasi-periodic phenomena spatio-temporal data
2013/4/27
This paper introduces a spatio-temporal resonator model and an inference method for detection and estimation of nearly periodic temporal phenomena in spatio-temporal data. The model is derived as a sp...
Efficient particle filtering through residual nudging
Efficient particle filtering residual nudging
2013/5/2
We introduce an auxiliary technique, called residual nudging, to the particle filter to enhance its performance in cases that it performs poorly. The main idea of residual nudging is to monitor, and i...
Top-down particle filtering for Bayesian decision trees
Top-down particle filtering Bayesian decision trees
2013/4/27
Decision tree learning is a popular approach for classification and regression in machine learning and statistics, and Bayesian formulations---which introduce a prior distribution over decision trees,...
Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts
Multi-Factor Commodity Spot Price Stochastic Volatility Milstein Adaptive Markov chain Monte Carlo Particle filter Rao-Blackwellization
2011/6/21
We examine a general multi-factor model for commodity spot prices and futures valuation. We extend
the multi-factor long-short model in [1] and [2] in two important aspects: firstly we allow for both...
Confidence Sets in Time--Series Filtering
Information Theory (cs.IT) Statistics Theory (math.ST)
2010/12/17
The problem of filtering of finite--alphabet stationary ergodic time series is considered. A method for constructing a confidence set for the (unknown) signal is proposed, such that the resulting set ...
Optimal experiment design in a filtering context with application to sampled network data
Optimal design, Kalman filter random walks
2010/10/19
We examine the problem of optimal design in the context of filtering multiple random walks. Specifically, we define the steady state E-optimal design criterion and show that the underlying optimizatio...
Local Optimality of User Choices and Collaborative Competitive Filtering
Local Optimality User Choices Collaborative Competitive Filtering
2010/10/14
We describe a novel framework for learning recommender models for recommendation systems, which views user-system-item interactions as an opportunity give-and-take process, and encodes both "collabora...
Estimation error for blind Gaussian time series filtering
Asymptotic Statistics Covariance Estimation Time Series
2010/3/10
In the frame of time series analysis, we compute the quadratic error in the
blind estimation of the projection operator for prediction with infinite past. The
estimation is made using only a single ...
Target Detection via Network Filtering
Sparse network Lasso regression network topology target detection
2010/3/18
A method of ‘network filtering’ has been proposed recently to detect the effects of certain external perturbations on the interacting members in a network. However, with large networks, the goal of de...
Operator valued stochastic control in Fock space with applications to orbit tracking and noise filtering
Operator valued stochastic control Fock space applications to orbit tracking
2009/9/22
The control process that minimizes the quadratic performance
functional associated with a quantum system whose evolution
is described by a Hudson-Parthasarathy type stochastic differential
equation...
Application of Girsanov Theorem to Particle Filtering of Discretely Observed Continuous-Time Non-Linear Systems
Girsanov theorem particle ltering continuous-discrete ltering
2009/9/22
This article considers the application of particle ltering to continuous-
discrete optimal ltering problems, where the system model is a stochastic dier-
ential equation, and noisy measurements of t...
Time dependent Malliavin calculus on manifolds and application to nonlinear filtering
Time dependent Malliavin calculus application to nonlinear filtering
2009/9/22
In this paper, we prove, using Malliavin calculus, that
under a global Hormander condition the law of a Riemannian manifold
valued stochastic process, a solution of a stochastic differential
equati...
On a role of predictor in the filtering stability
nonlinear filtering stability martingale convergence
2009/4/22
When is a nonlinear filter stable with respect to its initial condition? In spite of the recent progress, this question still lacks a complete answer in general. Currently available results indicate t...