Bayesian MCMC nonlinear time series prediction
نویسندگان
چکیده
An MCMC(Markov Chain Monte Carlo) algorithm is proposed for nonlinear time series prediction with Hierarchical Bayesian framework. The algorithm computes predictive mean and error bar by drawing samples from predictive distributions. The algorithm is tested against time series generated by (chaotic) Rössler system and it outperforms quadratic approximations previously proposed by the authors.
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