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Bayesian model selection with fractional Brownian motion

Krog, Jens LU ; Jacobsen, Lars H ; Lund, Frederik W ; Wüstner, Daniel and Lomholt, Michael A. (2018) In Journal of Statistical Mechanics: Theory and Experiment
Abstract
We implement Bayesian model selection and parameter estimation for the case of fractional Brownian motion with measurement noise and a constant drift. The approach is tested on artificial trajectories and shown to make estimates that match well with the underlying true parameters, while for model selection the approach has a preference for simple models when the trajectories are finite. The approach is applied to observed trajectories of vesicles diffusing in Chinese hamster ovary cells. Here it is supplemented with a goodness-of-fit test, which is able to reveal statistical discrepancies between the observed trajectories and model predictions.
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author
; ; ; and
publishing date
type
Contribution to journal
publication status
published
in
Journal of Statistical Mechanics: Theory and Experiment
publisher
IOP Publishing
external identifiers
  • scopus:85054704941
ISSN
1742-5468
DOI
10.1088/1742-5468/aadb0e
language
English
LU publication?
no
id
71bda097-c9ff-44b0-a7e5-70ccf4957c58
date added to LUP
2019-05-28 10:36:00
date last changed
2025-10-14 11:51:47
@article{71bda097-c9ff-44b0-a7e5-70ccf4957c58,
  abstract     = {{We implement Bayesian model selection and parameter estimation for the case of fractional Brownian motion with measurement noise and a constant drift. The approach is tested on artificial trajectories and shown to make estimates that match well with the underlying true parameters, while for model selection the approach has a preference for simple models when the trajectories are finite. The approach is applied to observed trajectories of vesicles diffusing in Chinese hamster ovary cells. Here it is supplemented with a goodness-of-fit test, which is able to reveal statistical discrepancies between the observed trajectories and model predictions.}},
  author       = {{Krog, Jens and Jacobsen, Lars H and Lund, Frederik W and Wüstner, Daniel and Lomholt, Michael A.}},
  issn         = {{1742-5468}},
  language     = {{eng}},
  month        = {{09}},
  publisher    = {{IOP Publishing}},
  series       = {{Journal of Statistical Mechanics: Theory and Experiment}},
  title        = {{Bayesian model selection with fractional Brownian motion}},
  url          = {{http://dx.doi.org/10.1088/1742-5468/aadb0e}},
  doi          = {{10.1088/1742-5468/aadb0e}},
  year         = {{2018}},
}