Comparison of continuous and discrete-time data-based modeling for hypoelliptic systems
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Publication:6273271
DOI10.2140/CAMCOS.2016.11.187arXiv1605.02273MaRDI QIDQ6273271FDOQ6273271
Authors: Fei Lu, Kevin K. Lin, Alexandre J. Chorin 
Publication date: 8 May 2016
Abstract: We compare two approaches to the predictive modeling of dynamical systems from partial observations at discrete times. The first is continuous in time, where one uses data to infer a model in the form of stochastic differential equations, which are then discretized for numerical solution. The second is discrete in time, where one directly infers a discrete-time model in the form of a nonlinear autoregression moving average model. The comparison is performed in a special case where the observations are known to have been obtained from a hypoelliptic stochastic differential equation. We show that the discrete-time approach has better predictive skills, especially when the data are relatively sparse in time. We discuss open questions as well as the broader significance of the results.
Non-Markovian processes: estimation (62M09) Inference from stochastic processes and prediction (62M20)
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