Characteristic functions and process identification by neural networks
数据分析、统计与概率
2007-05-23 v1
摘要
Principal component analysis (PCA) algorithms use neural networks to extract the eigenvectors of the correlation matrix from the data. However, if the process is non-Gaussian, PCA algorithms or their higher order generalisations provide only incomplete or misleading information on the statistical properties of the data. To handle such situations we propose neural network algorithms, with an hybrid (supervised and unsupervised) learning scheme, which constructs the characteristic function of the probability distribution and the transition functions of the stochastic process. Illustrative examples are presented, which include Cauchy and Levy-type processes
引用
@article{arxiv.physics/9712035,
title = {Characteristic functions and process identification by neural networks},
author = {Joaquim A. Dente and R. Vilela Mendes},
journal= {arXiv preprint arXiv:physics/9712035},
year = {2007}
}
备注
11 pages Latex, 12 figures in a combined ps-file