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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Vydané v:	arXiv.org
Hlavní autori:	Bravi, Barbara, Sollich, Peter
Médium:	Paper
Jazyk:	English
Vydavateľské údaje:	Ithaca Cornell University Library, arXiv.org 25.04.2017
Predmet:	Conditioning Couplings Covariance Dynamics Error analysis Inference Mathematical analysis Nodes Parameter identification Phase diagrams Relaxation time Scaling Trajectory analysis
ISSN:	2331-8422
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