{"title":"Higher-order statistics-based estimation of moments of first passage time for Markov chains in its reverse problem","authors":"Shi Yu, Zhang Xianda","doi":"10.1109/ICOSP.1998.770244","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":145700,"journal":{"name":"ICSP '98. 1998 Fourth International Conference on Signal Processing (Cat. No.98TH8344)","volume":"92 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"1998-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"ICSP '98. 1998 Fourth International Conference on Signal Processing (Cat. No.98TH8344)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/ICOSP.1998.770244","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
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.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
