Informatics and Applications
2020, Volume 14, Issue 3, pp 3-12
STATISTICAL ESTIMATION OF DISTRIBUTIONS OF RANDOM COEFFICIENTS IN THE LANGEVIN STOCHASTIC DIFFERENTIAL EQUATION
- A. K. Gorshenin
- V. Yu. Korolev
- A. A. Shcherbinina
Abstract
A method is described for statistical estimation of the distributions of random coefficients of the Langevin stochastic differential equation (SDE) by the technique of moving separation of mixtures. Discrete approximations are proposed for these distributions. For the purpose of study of variability of the distributions of the SDE coefficients in time, an algorithm is proposed for sequential identification (determination of local connectivity) of the components of the resulting mixture distributions. This algorithm is based on combining a greedy algorithm for the determination of the number of components with a lustering method (k- or c-means). The application of the proposed method is illustrated by particular examples of the analysis of processes of heat transfer between atmosphere and ocean.
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[+] About this article
Title
STATISTICAL ESTIMATION OF DISTRIBUTIONS OF RANDOM COEFFICIENTS IN THE LANGEVIN STOCHASTIC DIFFERENTIAL EQUATION
Journal
Informatics and Applications
2020, Volume 14, Issue 3, pp 3-12
Cover Date
2020-09-30
DOI
10.14357/19922264200301
Print ISSN
1992-2264
Publisher
Institute of Informatics Problems, Russian Academy of Sciences
Additional Links
Key words
mixture distribution; local connectivity; greedy algorithm; clustering
Authors
A. K. Gorshenin  , V. Yu. Korolev ,  , and A. A. Shcherbinina
Author Affiliations
Federal Research Center "Computer Science and Control" of the Russian Academy of Sciences, 44-2 Vavilov Str., Moscow 119333, Russian Federation
Faculty of Computational Mathematics and Cybernetics, Lomonosov Moscow State University, GSP-1, Leninskie Gory, Moscow 119991, Russian Federation
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