Special cases of nonlinear and non-Gaussian models

Author(s):  
J. Durbin ◽  
S.J. Koopman
Geophysics ◽  
2019 ◽  
Vol 84 (5) ◽  
pp. V281-V293 ◽  
Author(s):  
Qiang Zhao ◽  
Qizhen Du ◽  
Xufei Gong ◽  
Xiangyang Li ◽  
Liyun Fu ◽  
...  

Simultaneous source acquisition has attracted more and more attention from geophysicists because of its cost savings, whereas it also brings some challenges that have never been addressed before. Deblending of simultaneous source data is usually considered as an underdetermined inverse problem, which can be effectively solved with a least-squares (LS) iterative procedure between data consistency ([Formula: see text]-norm) and regularization ([Formula: see text]-norm or [Formula: see text]-norm). However, when it comes to abnormal noise that follows non-Gaussian distribution and possesses high-amplitude features (e.g., erratic noise, swell noise, and power line noise), the [Formula: see text]-norm is a nonrobust statistic that can easily lead to suboptimal deblended results. Although abnormal noise can be attenuated in the common source domain at first, it is still challenging to apply a coherency-based filter due to the sparse receiver or crossline sampling, e.g., that commonly found in ocean bottom node (OBN) acquisition. To address this problem, we have developed a normalized shaping regularization to make the inversion-based deblending approach robust for the separation of blended data when abnormal noise exists. Its robustness comes from the normalized shaping operator defined by the confidence interval of normal distribution, which minimizes the abnormal risk to a normal level to satisfy the assumption of LS shaping regularization. In special cases, the proposed approach will revert to the classic LS shaping regularization once the normalized coefficient is large enough. Experimental results on synthetic and field data indicate that the proposed method can effectively restore the separated records from blended data at essentially the same convergence rate as the LS shaping regularization for the abnormal noise-free scenario, but it can obtain better deblending performance and less energy leakage when abnormal noise exists.


2010 ◽  
Vol 2010 (10) ◽  
pp. 002-002 ◽  
Author(s):  
Shuntaro Mizuno ◽  
Kazuya Koyama
Keyword(s):  

2015 ◽  
Vol 2015 ◽  
pp. 1-20
Author(s):  
Wanyang Dai

We prove the global risk optimality of the hedging strategy of contingent claim, which is explicitly (or called semiexplicitly) constructed for an incomplete financial market with external risk factors of non-Gaussian Ornstein-Uhlenbeck (NGOU) processes. Analytical and numerical examples are both presented to illustrate the effectiveness of our optimal strategy. Our study establishes the connection between our financial system and existing general semimartingale based discussions by justifying required conditions. More precisely, there are three steps involved. First, we firmly prove the no-arbitrage condition to be true for our financial market, which is used as an assumption in existing discussions. In doing so, we explicitly construct the square-integrable density process of the variance-optimal martingale measure (VOMM). Second, we derive a backward stochastic differential equation (BSDE) with jumps for the mean-value process of a given contingent claim. The unique existence of adapted strong solution to the BSDE is proved under suitable terminal conditions including both European call and put options as special cases. Third, by combining the solution of the BSDE and the VOMM, we reach the justification of the global risk optimality for our hedging strategy.


2015 ◽  
Vol 28 (23) ◽  
pp. 9166-9187 ◽  
Author(s):  
Prashant D. Sardeshmukh ◽  
Gilbert P. Compo ◽  
Cécile Penland

Abstract Given the reality of anthropogenic global warming, it is tempting to seek an anthropogenic component in any recent change in the statistics of extreme weather. This paper cautions that such efforts may, however, lead to wrong conclusions if the distinctively skewed and heavy-tailed aspects of the probability distributions of daily weather anomalies are ignored or misrepresented. Departures of several standard deviations from the mean, although rare, are far more common in such a distinctively non-Gaussian world than they are in a Gaussian world. This further complicates the problem of detecting changes in tail probabilities from historical records of limited length and accuracy. A possible solution is to exploit the fact that the salient non-Gaussian features of the observed distributions are captured by so-called stochastically generated skewed (SGS) distributions that include Gaussian distributions as special cases. SGS distributions are associated with damped linear Markov processes perturbed by asymmetric stochastic noise and as such represent the simplest physically based prototypes of the observed distributions. The tails of SGS distributions can also be directly linked to generalized extreme value (GEV) and generalized Pareto (GP) distributions. The Markov process model can be used to provide rigorous confidence intervals and to investigate temporal persistence statistics. The procedure is illustrated for assessing changes in the observed distributions of daily wintertime indices of large-scale atmospheric variability in the North Atlantic and North Pacific sectors over the period 1872–2011. No significant changes in these indices are found from the first to the second half of the period.


2012 ◽  
Vol 57 (4) ◽  
pp. 524-533 ◽  
Author(s):  
M. Ya. Litvak ◽  
V. I. Malyugin

Sensors ◽  
2019 ◽  
Vol 19 (12) ◽  
pp. 2827 ◽  
Author(s):  
Danilo Pena ◽  
Carlos Lima ◽  
Matheus Dória ◽  
Luan Pena ◽  
Allan Martins ◽  
...  

In general, acoustic channels are not Gaussian distributed neither are second-order stationary. Considering them for signal processing methods designed for Gaussian assumptions is inadequate, consequently yielding in poor performance of such methods. This paper presents an analysis for audio signal corrupted by impulsive noise using non-Gaussian models. Audio samples are compared to the Gaussian, α -stable and Gaussian mixture models, evaluating the fitting by graphical and numerical methods. We discuss fitting properties as the window length and the overlap, finally concluding that the α -stable model has the best fit for all tested scenarios.


2021 ◽  
pp. 15-41
Author(s):  
Hanyi Yu ◽  
Sung Bo Yoon ◽  
Robert Kauffman ◽  
Jens Wrammert ◽  
Adam Marcus ◽  
...  

1988 ◽  
Vol 37 (5) ◽  
pp. 471-529 ◽  
Author(s):  
E. Jakeman ◽  
R.J.A. Tough
Keyword(s):  

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