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基于特征函数的概率密度函数频域重构方法

A FREQUENCY-DOMAIN PROBABILITY DENSITY RECONSTRUCTION METHOD BASED ON CHARACTERISTIC FUNCTIONS

  • 摘要: 针对传统基于样本空间的统计推断方法在数据分布处理中存在的精度不足, 提出一种基于特征函数的通用概率密度函数频域重构方法. 首先, 基于复分数矩理论推导特征函数的数值计算格式, 有效抑制经验特征函数在高频区域的振荡现象. 其次, 通过解析推导获得高斯基函数的频域闭式表达, 建立频域参数与样本空间参数的一致性映射关系; 在此基础上, 提出基于幅值谱峰值检测的确定性初始化策略, 通过频谱特征分析直接确定模型参数初值. 最后, 构建全频域最小二乘目标函数, 结合解析解与数值解的全局波形匹配实现参数优化; 得益于频域解析模型的设计, 最优频域参数可直接用于重构样本空间的概率密度函数, 规避了复杂的数值逆变换过程. 数值算例表明, 该方法在单变量极值分布及多维联合分布重构中均具有显著的精度优势与建模灵活性, 适用于工程结构可靠性评估与风险分析领域.

     

    Abstract: To overcome the limited accuracy of conventional sample-space-based statistical inference methods in representing data distributions, this paper proposes a general frequency-domain probability density reconstruction method based on the characteristic function. First, a numerical formulation of the characteristic function is derived based on complex fractional moment theory, which effectively suppresses the high-frequency oscillations inherent in empirical characteristic functions. Second, closed-form analytical expressions of Gaussian basis functions in the frequency-domain are obtained, and a consistent mapping between frequency-domain parameters and their corresponding sample-space counterparts is established. On this basis, a deterministic initialization strategy based on amplitude spectrum peak detection is developed, enabling direct identification of initial model parameters through spectral feature analysis. Finally, a full-frequency-domain least-squares objective function is constructed, and parameter optimization is performed via global waveform matching between analytical and numerical characteristic functions. Owing to the analytical formulation in the frequency domain, the optimized frequency-domain parameters can be directly employed to reconstruct the probability density function in the sample space, thereby avoiding computationally intensive numerical inverse transformations. Numerical examples demonstrate that the proposed method achieves superior accuracy and enhanced modeling flexibility in reconstructing univariate extreme value distributions and multivariate joint distributions, highlighting its potential for engineering structural reliability assessment and risk analysis.

     

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