A Bayesian Nonparametric Approach to Dynamical Noise Reduction

02/05/2018

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by   Konstantinos Kaloudis, et al.

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We propose a Bayesian nonparametric approach for the noise reduction of a given chaotic time series contaminated by dynamical noise, based on Markov Chain Monte Carlo methods (MCMC). The underlying unknown noise process is (perhaps) non-Gaussian. We introduce the Dynamic Noise Reduction Replicator (DNRR) model with which we reconstruct the unknown dynamic equations and in parallel we replicate the dynamics under reduced noise level dynamical perturbations. The dynamic noise reduction procedure is demonstrated specifically in the case of polynomial maps. Simulations based on synthetic time series are presented.