Deterministic Dynamical Bounds on Moments of Nonstationary Stochastic Processes
1998 (English)Report (Other academic)
In this contribution, we deal with the deterministic dominance of the probability moments of stochastic processes. More precisely, given a positive stochastic process, we propose to dominate its probability moment sequence by the trajectory of appropriate lower and upper dominating deterministic processes. The analysis of the behavior of the original stochastic process is then transferred to the stability analysis of the deterministic dominating processes. The result is applied to a nonstationary auto-regressive process that appears in the system identification literature.
Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 1998. , 11 p.
LiTH-ISY-R, ISSN 1400-3902 ; 2022
Nonstationary stochastic process, Probability theory, Nonlinear dynamic system, Stability analysis, Trajectory bounding
IdentifiersURN: urn:nbn:se:liu:diva-55638ISRN: LiTH-ISY-R-2022OAI: oai:DiVA.org:liu-55638DiVA: diva2:316435