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

DOI10.1016/J.SIGPRO.2004.09.007zbMATH Open1148.37313OpenAlexW2030110735MaRDI QIDQ956124FDOQ956124

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

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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)

Cited In (6)

• System identification using autoregressive Bayesian neural networks with nonparametric noise models
• Bayesian model selection using automatic relevance determination for nonlinear dynamical systems
• 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
• Variational Bayesian identification and prediction of stochastic nonlinear dynamic causal models
• Joint reconstruction and prediction of random dynamical systems under borrowing of strength

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