2018-02-22 - Robert Richardson - Non-Gaussian Translation Processes
Submitted by kjones12 on
A non-Gaussian translation process is a method used in some engineering applications where a stochastic process is used with non-Gaussian marginal distributions. It could be considered a hierarchical copula model where the correlation structure of the process is defined separately from the marginal distributional characteristics. This approach also yields a simple likelihood function for the finite dimensional distributions of the stochastic process. These processes will be shown in a few applications to either perform tasks that could not be done previously or to do it much more efficiently such as non-Gaussian option pricing, general multivariate stable spatial processes, and non-Gaussian spatio-temporal dynamic modeling.
Feb 22, 2018