Joint reconstruction and prediction of random dynamical systems under borrowing of strength (1811.07625v2)

Abstract: We propose a Bayesian nonparametric model based on Markov Chain Monte Carlo (MCMC) methods for the joint reconstruction and prediction of discrete time stochastic dynamical systems, based on $m$-multiple time-series data, perturbed by additive dynamical noise. We introduce the Pairwise Dependent Geometric Stick-Breaking Reconstruction (PD-GSBR) model, which relies on the construction of a $m$-variate nonparametric prior over the space of densities supported over $\mathbb{R}^m$. We are focusing in the case where at least one of the time-series has a sufficiently large sample size representation for an independent and accurate Geometric Stick-Breaking estimation, as defined in Merkatas et al. (2017). Our contention, is that whenever the dynamical error processes perturbing the underlying dynamical systems share common characteristics, underrepresented data sets can benefit in terms of model estimation accuracy. The PD-GSBR estimation and prediction procedure is demonstrated specifically in the case of maps with polynomial nonlinearities of an arbitrary degree. Simulations based on synthetic time-series are presented.