基于高阶统计量的马尔可夫链逆问题首次通过时间矩估计

ICSP '98. 1998 Fourth International Conference on Signal Processing (Cat. No.98TH8344) Pub Date : 1998-10-12 DOI:10.1109/ICOSP.1998.770244

Shi Yu, Zhang Xianda

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引用次数: 0

摘要

本文提出了一种利用高阶累积量估计加性噪声为高斯有色噪声时的矩量的统计方法。结果表明，噪声样本的k阶矩只与噪声的方差有关，估计量具有无偏性和同余性。对连续时间参数马尔可夫链的构造进行了数值模拟。实验结果表明了该算法的有效性。

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Higher-order statistics-based estimation of moments of first passage time for Markov chains in its reverse problem

This paper presents a statistical approach for estimating the moments by using higher-order cumulants when the additive noise is Gaussian colored noise. It is shown that the kth-order moments of the noise samples are only related to the variance of the noise and that the estimators have the properties of unbiasedness and congruence. A numerical simulation is performed for constructing a Markov chain of continuous time parameters. The results show the validity of this algorithm.

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ICSP '98. 1998 Fourth International Conference on Signal Processing (Cat. No.98TH8344)

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