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Stochastic differential equations: an approach to the generation of continuous non-Gaussian processes.
Valeri Y. Kontorovich
Vladimir Lyandres
Published in:
IEEE Trans. Signal Process. (1995)
Keyphrases
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stochastic differential equations
brownian motion
maximum a posteriori estimation
gaussian distribution
differential equations
non stationary
long range
autoregressive
stochastic processes
stochastic process
heavy tailed
additive gaussian noise