Invariants of the Markov process by the transformation of variables
作者:
NAOHIRO ISHII,
NOBUO SUZUMURA,
SHINIGHI NISHINO,
期刊:
International Journal of Systems Science
(Taylor Available online 1977)
卷期:
Volume 8,
issue 12
页码: 1327-1336
ISSN:0020-7721
年代: 1977
DOI:10.1080/00207727708942125
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
The guassian Markov process plays an important role in the identification and prediction of systems and the spectrum estimate of the time series. However, we are often confronted with the non-gaussian time series. In this paper, a method is discussed which transforms the data from non-gaussian to gaussian. It is shown that this procedure preserves the amount of Kullback information under the transformation. To verify the transformation statistically computer simulation was carried out.
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