Nonasymptotic Gaussian Approximation for Inference With Stable Noise

DOI10.1109/TIT.2020.2996135zbMATH Open1446.62074arXiv1802.10065OpenAlexW3027288355MaRDI QIDQ5124479FDOQ5124479

Authors: Marina Riabiz, Tohid Ardeshiri, Ioannis Kontoyiannis, Simon J. Godsill 

Publication date: 29 September 2020

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Abstract: The results of a series of theoretical studies are reported, examining the convergence rate for different approximate representations of $alpha$-stable distributions. Although they play a key role in modelling random processes with jumps and discontinuities, the use of $alpha$-stable distributions in inference often leads to analytically intractable problems. The LePage series, which is a probabilistic representation employed in this work, is used to transform an intractable, infinite-dimensional inference problem into a conditionally Gaussian parametric problem. A major component of our approach is the approximation of the tail of this series by a Gaussian random variable. Standard statistical techniques, such as Expectation-Maximization, Markov chain Monte Carlo, and Particle Filtering, can then be applied. In addition to the asymptotic normality of the tail of this series, we establish explicit, nonasymptotic bounds on the approximation error. Their proofs follow classical Fourier-analytic arguments, using Ess'{e}en's smoothing lemma. Specifically, we consider the distance between the distributions of: $(i)$~the tail of the series and an appropriate Gaussian; $(ii)$~the full series and the truncated series; and $(iii)$~the full series and the truncated series with an added Gaussian term. In all three cases, sharp bounds are established, and the theoretical results are compared with the actual distances (computed numerically) in specific examples of symmetric $alpha$-stable distributions. This analysis facilitates the selection of appropriate truncations in practice and offers theoretical guarantees for the accuracy of resulting estimates. One of the main conclusions obtained is that, for the purposes of inference, the use of a truncated series together with an approximately Gaussian error term has superior statistical properties and is likely a preferable choice in practice.

Full work available at URL: https://arxiv.org/abs/1802.10065

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Approximations to statistical distributions (nonasymptotic) (62E17) Stable stochastic processes (60G52)

Cited In (6)

• Guaranteed nonlinear parameter estimation with additive Gaussian noise
• Noise Parameter Mismatch in Variance Stabilization, With an Application to Poisson–Gaussian Noise Estimation
• Gaussian sum approximation for non-linear fixed-point prediction
• Point process simulation of generalised hyperbolic Lévy processes
• Asymptotic Relative Efficiency and Exact Variance Stabilizing Transformation for the Generalized Gaussian Distribution
• Point process simulation of generalised inverse Gaussian processes and estimation of the Jaeger integral

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