КФУ. Карточка публикации. Modelling of nonlinear filtering Poisson time series

КАЗАНСКИЙ
ФЕДЕРАЛЬНЫЙ УНИВЕРСИТЕТ

RUS

- EN
- 中文
- ES

MODELLING OF NONLINEAR FILTERING POISSON TIME SERIES

Форма представления

Статьи в зарубежных журналах и сборниках

Год публикации

2016

Язык

английский

Авторы, сотрудники КФУ

Бочкарев Владимир Владимирович, автор

Библиографическое описание на языке оригинала

Bochkarev V.V, Belashova I.A., Modelling of nonlinear filtering Poisson time series//Journal of Physics: Conference Series. - 2016. - Vol.738, Is.1. - Art. № 012082.

Аннотация

In this article, algorithms of non-linear filtering of Poisson time series are tested using statistical modelling. The objective is to find a representation of a time series as a wavelet series with a small number of non-linear coefficients, which allows distinguishing statistically significant details. There are well-known efficient algorithms of non-linear wavelet filtering for the case when the values of a time series have a normal distribution. However, if the distribution is not normal, good results can be expected using the maximum likelihood estimations. The filtration is studied according to the criterion of maximum likelihood by the example of Poisson time series. For direct optimisation of the likelihood function, different stochastic (genetic algorithms, annealing method) and deterministic optimization algorithms are used.

Ключевые слова

nonlinear filtering, Poisson's distribution, maximul likelihood estimation

Название журнала

Journal of Physics: Conference Series

URL

https://www.scopus.com/inward/record.uri?eid=2-s2.0-84988692831&partnerID=40&md5=250cec49edf11d7490a9b4103cffb304

Пожалуйста, используйте этот идентификатор, чтобы цитировать или ссылаться на эту карточку

https://repository.kpfu.ru/?p_id=166638

Полная запись метаданных

Поле DC	Значение	Язык
dc.contributor.author	Бочкарев Владимир Владимирович	ru_RU
dc.date.accessioned	2016-01-01T00:00:00Z	ru_RU
dc.date.available	2016-01-01T00:00:00Z	ru_RU
dc.date.issued	2016	ru_RU
dc.identifier.citation	Bochkarev V.V, Belashova I.A., Modelling of nonlinear filtering Poisson time series//Journal of Physics: Conference Series. - 2016. - Vol.738, Is.1. - Art. № 012082.	ru_RU
dc.identifier.uri	https://repository.kpfu.ru/?p_id=166638	ru_RU
dc.description.abstract	Journal of Physics: Conference Series	ru_RU
dc.description.abstract	In this article, algorithms of non-linear filtering of Poisson time series are tested using statistical modelling. The objective is to find a representation of a time series as a wavelet series with a small number of non-linear coefficients, which allows distinguishing statistically significant details. There are well-known efficient algorithms of non-linear wavelet filtering for the case when the values of a time series have a normal distribution. However, if the distribution is not normal, good results can be expected using the maximum likelihood estimations. The filtration is studied according to the criterion of maximum likelihood by the example of Poisson time series. For direct optimisation of the likelihood function, different stochastic (genetic algorithms, annealing method) and deterministic optimization algorithms are used.	ru_RU
dc.language.iso	ru	ru_RU
dc.subject	nonlinear filtering	ru_RU
dc.subject	Poisson's distribution	ru_RU
dc.subject	maximul likelihood estimation	ru_RU
dc.title	Modelling of nonlinear filtering Poisson time series	ru_RU
dc.type	Статьи в зарубежных журналах и сборниках	ru_RU