Moving Taylor Bayesian regression for nonparametric multidimensional function estimation with possibly correlated errors

DOI10.1137/12087846XzbMATH Open1273.62087arXiv1204.2841MaRDI QIDQ2855650FDOQ2855650

Authors: Jobst Heitzig 

Publication date: 28 October 2013

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Abstract: We present a nonparametric method for estimating the value and several derivatives of an unknown, sufficiently smooth real-valued function of real-valued arguments from a finite sample of points, where both the function arguments and the corresponding values are known only up to measurement errors having some assumed distribution and correlation structure. The method, Moving Taylor Bayesian Regression (MOTABAR), uses Bayesian updating to find the posterior mean of the coefficients of a Taylor polynomial of the function at a moving position of interest. When measurement errors are neglected, MOTABAR becomes a multivariate interpolation method. It contains several well-known regression and interpolation methods as special or limit cases. We demonstrate the performance of MOTABAR using the reconstruction of the Lorenz attractor from noisy observations as an example.

Full work available at URL: https://arxiv.org/abs/1204.2841

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zbMATH Keywords

interpolationsmoothingirregular samplingrational functionsnumerical differentiation

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric regression and quantile regression (62G08) Multivariate analysis (62H99) Measures of association (correlation, canonical correlation, etc.) (62H20) Numerical differentiation (65D25)

Cited In (1)

• Phase space reconstruction for non-uniformly sampled noisy time series

Uses Software

• MOTABAR

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