Bayesian inference of scaled versus fractional Brownian motion

DOI10.1088/1751-8121/AC60E7MaRDI QIDQ5048491zbMATH OpenOpenAlexFDO

Authors Samudrajit Thapa, Seongyu Park, Yeongjin Kim, Jae-Hyung Jeon, Ralf Metzler, Michael A. Lomholt

Publication date 16 November 2022

Published in Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2201.00654

zbMATH Keywords

Bayesian inferencescaled Brownian motionsingle particle tracking

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Bayesian inference (62F15) Non-Markovian processes: estimation (62M09)

Abstract: We present a Bayesian inference scheme for scaled Brownian motion, and investigate its performance on synthetic data for parameter estimation and model selection in a combined inference with fractional Brownian motion. We include the possibility of measurement noise in both models. We find that for trajectories of a few hundred time points the procedure is able to resolve well the true model and parameters. Using the prior of the synthetic data generation process also for the inference, the approach is optimal based on decision theory. We include a comparison with inference using a prior different from the data generating one.

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Cited in

(11)

• Discriminating between scaled and fractional Brownian motion via p-variation statistics
• Bayesian model selection with fractional Brownian motion
• Bayesian inference of Lévy walks via hidden Markov models
• Preface: characterisation of physical processes from anomalous diffusion data
• Parameter estimation of the fractional Ornstein-Uhlenbeck process based on quadratic variation
• Distinguishing between fractional Brownian motion with random and constant Hurst exponent using sample autocovariance-based statistics
• Stochastic processes in a confining harmonic potential in the presence of static and dynamic measurement noise
• Fractional Brownian motion with random Hurst exponent: accelerating diffusion and persistence transitions
• Scaled Brownian motion with random anomalous diffusion exponent
• Estimation of energy-dependent parameter in the coupled continuous time random walk model
• Stochastic self-similarity and stationarity: novel perspectives for heterogeneous and multifractal processes

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