Abstract: In this article the problem of distributional moments estimation is considered. The new approach of moments estimation based on usage of the characteristic function is proposed. By statistical simulation technique author shows that new approach has some robust properties. For calculation of the derivatives of characteristic function there is used numerical differentiation. Obtained results confirmed that author’s idea has a certain working efficiency and it can be recommended for any statistical applications.
Abstract: In this paper a novel method for the detection of
clipping in speech signals is described. It is shown that the new
method has better performance than known clipping detection
methods, is easy to implement, and is robust to changes in signal
amplitude, size of data, etc. Statistical simulation results are
presented.
Abstract: This paper addresses the problem of how one can
improve the performance of a non-optimal filter. First the theoretical question on dynamical representation for a given time correlated
random process is studied. It will be demonstrated that for a wide class of random processes, having a canonical form, there exists
a dynamical system equivalent in the sense that its output has the
same covariance function. It is shown that the dynamical approach is more effective for simulating and estimating a Markov and non-
Markovian random processes, computationally is less demanding,
especially with increasing of the dimension of simulated processes.
Numerical examples and estimation problems in low dimensional
systems are given to illustrate the advantages of the approach. A very useful application of the proposed approach is shown for the
problem of state estimation in very high dimensional systems. Here a modified filter for data assimilation in an oceanic numerical model
is presented which is proved to be very efficient due to introducing
a simple Markovian structure for the output prediction error process
and adaptive tuning some parameters of the Markov equation.