Stochastic partial differential equation based modelling of large space-time data sets

Increasingly larger data sets of processes in space and time ask for statistical models and methods that can cope with such data. We show that the solution of a stochastic advection-diffusion partial differential equation provides a flexible model class for spatio-temporal processes which is computationally feasible also for large data sets. The Gaussian process defined through the stochastic partial differential equation has in general a nonseparable covariance structure. Furthermore, its parameters can be physically interpreted as explicitly modeling phenomena such as transport and diffusion that occur in many natural processes in diverse fields ranging from environmental sciences to ecology. In order to obtain computationally efficient statistical algorithms we use spectral methods to solve the stochastic partial differential equation. This has the advantage that approximation errors do not accumulate over time, and that in the spectral space the computational cost grows linearly with the dimension, the total computational costs of Bayesian or frequentist inference being dominated by the fast Fourier transform. The proposed model is applied to postprocessing of precipitation forecasts from a numerical weather prediction model for northern Switzerland. In contrast to the raw forecasts from the numerical model, the postprocessed forecasts are calibrated and quantify prediction uncertainty. Moreover, they outperform the raw forecasts, in the sense that they have a lower mean absolute error

A new framework for extracting coarse-grained models from time series with multiscale structure

In many applications it is desirable to infer coarse-grained models from observational data. The observed process often corresponds only to a few selected degrees of freedom of a high-dimensional dynamical system with multiple time scales. In this work we consider the inference problem of identifying an appropriate coarse-grained model from a single time series of a multiscale system. It is known that estimators such as the maximum likelihood estimator or the quadratic variation of the path estimator can be strongly biased in this setting. Here we present a novel parametric inference methodology for problems with linear parameter dependency that does not suffer from this drawback. Furthermore, we demonstrate through a wide spectrum of examples that our methodology can be used to derive appropriate coarse-grained models from time series of partial observations of a multiscale system in an effective and systematic fashion

A data-driven framework for neural field modeling

This paper presents a framework for creating neural field models from electrophysiological data. The Wilson and Cowan or Amari style neural field equations are used to form a parametric model, where the parameters are estimated from data. To illustrate the estimation framework, data is generated using the neural field equations incorporating modeled sensors enabling a comparison between the estimated and true parameters. To facilitate state and parameter estimation, we introduce a method to reduce the continuum neural field model using a basis function decomposition to form a finite-dimensional state-space model. Spatial frequency analysis methods are introduced that systematically specify the basis function configuration required to capture the dominant characteristics of the neural field. The estimation procedure consists of a two-stage iterative algorithm incorporating the unscented Rauch–Tung–Striebel smoother for state estimation and a least squares algorithm for parameter estimation. The results show that it is theoretically possible to reconstruct the neural field and estimate intracortical connectivity structure and synaptic dynamics with the proposed framework