A Bayesian nonparametric approach to dynamical noise reduction

DOI10.1063/1.5025545MaRDI QIDQ4583554zbMATHOpenAlexWikidataFDO

Authors Konstantinos Kaloudis, Spyridon J. Hatjispyros

Publication date 31 August 2018

Published in Chaos: An Interdisciplinary Journal of Nonlinear Science (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1802.01718

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Time series analysis of dynamical systems (37M10)

Abstract: We propose a Bayesian nonparametric approach for the noise reduction of a given chaotic time series contaminated by dynamical noise, based on Markov Chain Monte Carlo methods (MCMC). The underlying unknown noise process (possibly) exhibits heavy tailed behavior. We introduce the Dynamic Noise Reduction Replicator (DNRR) model with which we reconstruct the unknown dynamic equations and in parallel we replicate the dynamics under reduced noise level dynamical perturbations. The dynamic noise reduction procedure is demonstrated specifically in the case of polynomial maps. Simulations based on synthetic time series are presented.

Recommendations

• Efficient noncausal noise reduction for deterministic time series
• A Bayesian nonparametric approach to reconstruction and prediction of random dynamical systems
• scientific article; zbMATH DE number 1302596
• Noise reduction in chaotic time series using scaled probabilistic methods
• Noise reduction: Finding the simplest dynamical system consistent with the data

Cites work

• scientific article; zbMATH DE number 1666084 (Why is no real title available?)
• scientific article; zbMATH DE number 2117879 (Why is no real title available?)
• A Bayesian nonparametric approach to reconstruction and prediction of random dynamical systems
• A Bayesian nonparametric study of a dynamic nonlinear model
• A new Bayesian nonparametric mixture model
• Advanced Lectures on Machine Learning
• Beneath the noise, chaos
• Chaos in Dynamical Systems
• Chaos, fractals and statistics
• Denoising deterministic time series
• Homoclinic tangencies and non-normal Jacobians-effects of noise in nonhyperbolic chaotic systems
• Influence of dynamical noise on time series generated by nonlinear maps
• NOISE REDUCTION BY GRADIENT DESCENT
• Noise Reduction of Chaotic Systems by Kalman Filtering and by Shadowing
• Noise reduction by wavelet thresholding
• Noise reduction schemes for chaotic time series
• Nonlinear Time Series Analysis
• Nonlinear noise reduction through Monte Carlo sampling
• Optimal shadowing and noise reduction
• Shadowing pseudo-orbits and gradient descent noise reduction
• Statistics, probability and chaos. With discussion and a rejoinder by the author
• The Bayesian Choice
• The dip test of unimodality

Cited in

(7)

• Efficient noncausal noise reduction for deterministic time series
• Joint reconstruction and prediction of random dynamical systems under borrowing of strength
• Nonlinear noise reduction through Monte Carlo sampling
• Data-Driven Structured Noise Filtering via Common Dynamics Estimation
• Noise reduction: Finding the simplest dynamical system consistent with the data
• A Bayesian nonparametric approach to reconstruction and prediction of random dynamical systems
• A Bayesian nonparametric approach to the approximation of the global stable manifold

Describes a project that uses

Uses Software

• ForeCA

This page was built for publication: A Bayesian nonparametric approach to dynamical noise reduction

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4583554)