Abstract
Principal component analysis (PCA) algorithms use neural networks to extract the eigenvectors of the correlation matrix from the data. However, if the process is non-Gaussian, PCA algorithms or their higher order generalisations provide only incomplete or misleading information on the statistical properties of the data. To handle such situations we propose neural network algorithms, with an hybrid (supervised and unsupervised) learning scheme, which constructs the characteristic function of the probability distribution and the transition functions of the stochastic process. Illustrative examples are presented, which include Cauchy and Lévy-type processes.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
