An MCMC Algorithm for Parameter Estimation in Signals with Hidden Intermittent Instability

DOI10.1137/130944977zbMath1350.60071OpenAlexW2016321914MaRDI QIDQ2938463

Dimitrios Giannakis, Nan Chen, Andrew J. Majda, Radu Herbei

Publication date: 14 January 2015

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/130944977

zbMATH Keywords

predictionparameter estimationintermittencydata augmentationMarkov chain Monte Carlo algorithmhidden processstochastic parameterized model

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Inference from stochastic processes and prediction (62M20) Applications of statistics to environmental and related topics (62P12) Bayesian inference (62F15) Monte Carlo methods (65C05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical analysis or methods applied to Markov chains (65C40) Information theory (general) (94A15) Prediction theory (aspects of stochastic processes) (60G25)

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