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ICASSP
2011
IEEE

Enhanced Poisson sum representation for alpha-stable processes

9 years 1 months ago
Enhanced Poisson sum representation for alpha-stable processes
In this paper we present Poisson sum series representations for α-stable (αS) random variables and α-stable processes, in particular concentrating on continuous-time autoregressive (CAR) models driven by α-stable L´evy 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.
Tatjana Lemke, Simon J. Godsill
Added 21 Aug 2011
Updated 21 Aug 2011
Type Journal
Year 2011
Where ICASSP
Authors Tatjana Lemke, Simon J. Godsill
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