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math.PR2020
The Lévy State Space Model
Simon Godsill, Marina Riabiz, Ioannis Kontoyiannis
In this paper we introduce a new class of state space models based on shot-noise simulation representations of non-Gaussian Lévy-driven linear systems, represented as stochastic di…
math.PR2018
Nonasymptotic Gaussian Approximation for Inference with Stable Noise
Marina Riabiz, Tohid Ardeshiri, Ioannis Kontoyiannis +1
The results of a series of theoretical studies are reported, examining the convergence rate for different approximate representations of -stable distributions. Although they pla…