A Recursive Bayesian Solution for the Excess Over Threshold Distribution with Stochastic Parameters.
Douglas E. JohnstonPetar M. DjuricPublished in: ICASSP (2020)
Keyphrases
- maximum likelihood
- monte carlo sampling
- optimal solution
- weibull distribution
- stochastic programming
- prior distribution
- bayesian networks
- set of linear equations
- lognormal distribution
- learning automaton
- expected loss
- window size
- normal distribution
- monte carlo
- learning automata
- closed form solutions
- posterior distribution
- density function
- parameter space
- sensitivity analysis