Critical scaling in hidden state inference for linear Langevin dynamics

We consider the problem of inferring the dynamics of unknown (i.e. hidden) nodes from a set of observed trajectories and study analytically the average prediction error and the typical relaxation time of correlations between errors. We focus on a stochastic linear dynamics of continuous degrees of f...

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Bibliographic Details

Published in:	arXiv.org
Main Authors:	Bravi, Barbara, Sollich, Peter
Format:	Paper
Language:	English
Published:	Ithaca Cornell University Library, arXiv.org 25.04.2017
Subjects:	Conditioning Couplings Covariance Dynamics Error analysis Inference Mathematical analysis Nodes Parameter identification Phase diagrams Relaxation time Scaling Trajectory analysis
ISSN:	2331-8422
Online Access:	Get full text
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