Bayesian reconstructions and predictions of nonlinear dynamical systems via the hybrid Monte Carlo scheme

DOI10.1016/J.SIGPRO.2004.09.007MaRDI QIDQ956124zbMATH OpenOpenAlexFDO

Authors Yohei Nakada, T. Matsumoto, Takayuki Kurihara, Kuniaki Yosui

Publication date 25 November 2008

Published in Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.sigpro.2004.09.007

zbMATH Keywords

Markov chain Monte Carlohybrid Monte CarloBayesian nonlinear time series predictionerror barpredictive meanreconstruction of nonlinear dynamical systems

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Time series analysis of dynamical systems (37M10)

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(6)

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• Joint reconstruction and prediction of random dynamical systems under borrowing of strength
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• A Bayesian method of parameter identification and prediction of states of linear stationary dynamical systems
• A Bayesian nonparametric approach to reconstruction and prediction of random dynamical systems

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