A Bayesian nonparametric approach to dynamical noise reduction

DOI10.1063/1.5025545zbMATH Open1395.62272arXiv1802.01718OpenAlexW3100689520WikidataQ89363211 ScholiaQ89363211MaRDI QIDQ4583554FDOQ4583554

Spyridon J. Hatjispyros, Konstantinos Kaloudis

Publication date: 31 August 2018

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

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.

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)

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Cited In (4)

• Data-Driven Structured Noise Filtering via Common Dynamics Estimation
• Joint reconstruction and prediction\break of random dynamical systems under\break borrowing of strength
• Nonlinear noise reduction through Monte Carlo sampling
• A Bayesian nonparametric approach to the approximation of the global stable manifold

Uses Software

• ForeCA

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