A Generalized Unscented Transformation for Probability Distributions

التفاصيل البيبلوغرافية
العنوان: A Generalized Unscented Transformation for Probability Distributions
المؤلفون: Ebeigbe, Donald, Berry, Tyrus, Norton, Michael M., Whalen, Andrew J., Simon, Dan, Sauer, Timothy, Schiff, Steven J.
سنة النشر: 2021
المجموعة: Computer Science
Statistics
مصطلحات موضوعية: Statistics - Methodology, Electrical Engineering and Systems Science - Systems and Control
الوصف: The unscented transform uses a weighted set of samples called sigma points to propagate the means and covariances of nonlinear transformations of random variables. However, unscented transforms developed using either the Gaussian assumption or a minimum set of sigma points typically fall short when the random variable is not Gaussian distributed and the nonlinearities are substantial. In this paper, we develop the generalized unscented transform (GenUT), which uses 2n+1 sigma points to accurately capture up to the diagonal components of the skewness and kurtosis tensors of most probability distributions. Constraints can be analytically enforced on the sigma points while guaranteeing at least second-order accuracy. The GenUT uses the same number of sigma points as the original unscented transform while also being applicable to non-Gaussian distributions, including the assimilation of observations in the modeling of infectious diseases such as coronavirus (SARS-CoV-2) causing COVID-19.
Comment: 15 pages, 4 figures
نوع الوثيقة: Working Paper
URL الوصول: http://arxiv.org/abs/2104.01958
رقم الأكسشن: edsarx.2104.01958
قاعدة البيانات: arXiv