17,078 research outputs found

    Joint state-parameter estimation of a nonlinear stochastic energy balance model from sparse noisy data

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    While nonlinear stochastic partial differential equations arise naturally in spatiotemporal modeling, inference for such systems often faces two major challenges: sparse noisy data and ill-posedness of the inverse problem of parameter estimation. To overcome the challenges, we introduce a strongly regularized posterior by normalizing the likelihood and by imposing physical constraints through priors of the parameters and states. We investigate joint parameter-state estimation by the regularized posterior in a physically motivated nonlinear stochastic energy balance model (SEBM) for paleoclimate reconstruction. The high-dimensional posterior is sampled by a particle Gibbs sampler that combines MCMC with an optimal particle filter exploiting the structure of the SEBM. In tests using either Gaussian or uniform priors based on the physical range of parameters, the regularized posteriors overcome the ill-posedness and lead to samples within physical ranges, quantifying the uncertainty in estimation. Due to the ill-posedness and the regularization, the posterior of parameters presents a relatively large uncertainty, and consequently, the maximum of the posterior, which is the minimizer in a variational approach, can have a large variation. In contrast, the posterior of states generally concentrates near the truth, substantially filtering out observation noise and reducing uncertainty in the unconstrained SEBM

    Statistical Physics Analysis of Maximum a Posteriori Estimation for Multi-channel Hidden Markov Models

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    The performance of Maximum a posteriori (MAP) estimation is studied analytically for binary symmetric multi-channel Hidden Markov processes. We reduce the estimation problem to a 1D Ising spin model and define order parameters that correspond to different characteristics of the MAP-estimated sequence. The solution to the MAP estimation problem has different operational regimes separated by first order phase transitions. The transition points for LL-channel system with identical noise levels, are uniquely determined by LL being odd or even, irrespective of the actual number of channels. We demonstrate that for lower noise intensities, the number of solutions is uniquely determined for odd LL, whereas for even LL there are exponentially many solutions. We also develop a semi analytical approach to calculate the estimation error without resorting to brute force simulations. Finally, we examine the tradeoff between a system with single low-noise channel and one with multiple noisy channels.Comment: The paper has been submitted to Journal of Statistical Physics with submission number JOSS-S-12-0039

    Multi-Detector Multi-Component spectral matching and applications for CMB data analysis

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    We present a new method for analyzing multi--detector maps containing contributions from several components. Our method, based on matching the data to a model in the spectral domain, permits to estimate jointly the spatial power spectra of the components and of the noise, as well as the mixing coefficients. It is of particular relevance for the analysis of millimeter--wave maps containing a contribution from CMB anisotropies.Comment: 15 pages, 7 Postscript figures, submitted to MNRA

    Smoothing and mean-covariance estimation of functional data with a Bayesian hierarchical model

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    Functional data, with basic observational units being functions (e.g., curves, surfaces) varying over a continuum, are frequently encountered in various applications. While many statistical tools have been developed for functional data analysis, the issue of smoothing all functional observations simultaneously is less studied. Existing methods often focus on smoothing each individual function separately, at the risk of removing important systematic patterns common across functions. We propose a nonparametric Bayesian approach to smooth all functional observations simultaneously and nonparametrically. In the proposed approach, we assume that the functional observations are independent Gaussian processes subject to a common level of measurement errors, enabling the borrowing of strength across all observations. Unlike most Gaussian process regression models that rely on pre-specified structures for the covariance kernel, we adopt a hierarchical framework by assuming a Gaussian process prior for the mean function and an Inverse-Wishart process prior for the covariance function. These prior assumptions induce an automatic mean-covariance estimation in the posterior inference in addition to the simultaneous smoothing of all observations. Such a hierarchical framework is flexible enough to incorporate functional data with different characteristics, including data measured on either common or uncommon grids, and data with either stationary or nonstationary covariance structures. Simulations and real data analysis demonstrate that, in comparison with alternative methods, the proposed Bayesian approach achieves better smoothing accuracy and comparable mean-covariance estimation results. Furthermore, it can successfully retain the systematic patterns in the functional observations that are usually neglected by the existing functional data analyses based on individual-curve smoothing.Comment: Submitted to Bayesian Analysi

    CMB map restoration

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    Estimating the cosmological microwave background is of utmost importance for cosmology. However, its estimation from full-sky surveys such as WMAP or more recently Planck is challenging: CMB maps are generally estimated via the application of some source separation techniques which never prevent the final map from being contaminated with noise and foreground residuals. These spurious contaminations whether noise or foreground residuals are well-known to be a plague for most cosmologically relevant tests or evaluations; this includes CMB lensing reconstruction or non-Gaussian signatures search. Noise reduction is generally performed by applying a simple Wiener filter in spherical harmonics; however this does not account for the non-stationarity of the noise. Foreground contamination is usually tackled by masking the most intense residuals detected in the map, which makes CMB evaluation harder to perform. In this paper, we introduce a novel noise reduction framework coined LIW-Filtering for Linear Iterative Wavelet Filtering which is able to account for the noise spatial variability thanks to a wavelet-based modeling while keeping the highly desired linearity of the Wiener filter. We further show that the same filtering technique can effectively perform foreground contamination reduction thus providing a globally cleaner CMB map. Numerical results on simulated but realistic Planck data are provided
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