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Using surrogates and optimal transport for synthesis of stationary multivariate series with prescribed covariance function and non-gaussian joint-distribution.
Pierre Borgnat
Patrice Abry
Patrick Flandrin
Published in:
ICASSP (2012)
Keyphrases
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joint distribution
non stationary
covariance function
marginal distributions
maximum entropy
random variables
gaussian process
gaussian processes
probability distribution
regression model
random fields
reinforcement learning