COMPSTAT 2014. 21st International Conference on Computational Statistics hosting the 5th IASC World Conference. Geneva, Switzerland, August 19–22, 2014. Book of Abstracts

Женева : 2014.

Под общей редакцией: M. Gilli, G. Gonz´alez-Rodr´ıguez, A. Nieto-Reyes

The 21st International Conference on Computational Statistics (COMPSTAT 2014) is held in Geneva. This year the Conference also hosts the 5th IASC World Congress. The Geneva edition coincides with the 40th anniversary of this biennial event which started in 1974 in Vienna and has been organized all over Europe. In the preface of the 1974 proceedings we can read: ‘If we succeed in making statisticians aware of the great possibilities of modern computing facilities, which at any rate go beyond simple numerical computations, the Symposium serves its purpose.’ This goal has since been reached with certainty, as by now statisticians fully integrate computational tools in their work.

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Application of Kalman Filter with alpha-stable distibution

Мозгунов П. А., , in: COMPSTAT 2014. 21st International Conference on Computational Statistics hosting the 5th IASC World Conference. Geneva, Switzerland, August 19–22, 2014. Book of Abstracts.: Geneva: [б.и.], 2014. P. 419–427.

In this paper we consider the behavior of Kalman Filter state estimates in the case of distribution with heavy tails .The simulated linear state space models with Gaussian measurement noises were used. Gaussian noises in state equation are replaced by components with alpha-stable distribution with different parameters alpha and beta. We consider the case when ...

Добавлено: 14 ноября 2014 г.

Ключевые слова: Computational Statistics