Geert Verdoolaege wrote: > How can I estimate the probability distribution of a non-stationary > signal? > > Thanks, > Geert
... it depends what you mean by the whole question and by the various parts of the question. ... in particular, what do you mean by "non-stationary" (for your specific application) ? For example, if the siognal is non-stationary because of seasonal effects, this leads to a set of possible answers to your question that aren't available otherwise. ... again, if you have available a set of multiple realisations of the signal, this opens up another set of possibilities. ... what do you mean by "the probability distribution" ? Do you mean the conditional distribution at some time-point or the marginal distribution. If you mean the marginal distibution, this might be something well-defined and might be estimable given some basic assumptions, but it depends on what you mean by "non-stationary". ... if the "signal" is driven by other effects which are themselves measurable, this again leads to another set of possible approaches, depending on what you are actually trying to do. David Jones . . ================================================================= Instructions for joining and leaving this list, remarks about the problem of INAPPROPRIATE MESSAGES, and archives are available at: . http://jse.stat.ncsu.edu/ . =================================================================
