Bayesian model selection with fractional Brownian motion

DOI10.1088/1742-5468/AADB0EMaRDI QIDQ3303352zbMATH OpenOpenAlexWikidataFDO

Authors Jens Krog, Lars Jacobsen, Frederik W. Lund, Daniel Wüstner, Michael A. Lomholt

Publication date 11 August 2020

Published in Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1804.01365

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Bayesian inference (62F15) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Abstract: We implement Bayesian model selection and parameter estimation for the case of fractional Brownian motion with measurement noise and a constant drift. The approach is tested on artificial trajectories and shown to make estimates that match well with the underlying true parameters, while for model selection the approach has a preference for simple models when the trajectories are finite. The approach is applied to observed trajectories of vesicles diffusing in Chinese hamster ovary cells. Here it is supplemented with a goodness-of-fit test, which is able to reveal statistical discrepancies between the observed trajectories and model predictions.

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Cites work

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Cited in

(10)

• Simulation and tracking of fractional particles motion. From microscopy video to statistical analysis. A Brownian bridge approach
• Bayesian inference of scaled versus fractional Brownian motion
• Learning physical properties of anomalous random walks using graph neural networks
• Bayesian inference of Lévy walks via hidden Markov models
• Parameter estimation of the fractional Ornstein-Uhlenbeck process based on quadratic variation
• Parameter estimation for fractional power type diffusion: A hybrid Bayesian-deep learning approach
• Scaled Brownian motion with random anomalous diffusion exponent
• Estimation of energy-dependent parameter in the coupled continuous time random walk model
• Bayesian and frequentist analyses of two-state single-molecule diffusion trajectories
• Anomalous diffusion and fluctuations in complex systems and networks

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