Bayesian model selection with fractional Brownian motion

Jens F. C. Krog, Lars Hervig Jacobsen, Frederik Wendelboe Lund, Daniel Wüstner, Michael Andersen Lomholt

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

217 Downloads (Pure)


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.
TidsskriftJournal of Statistical Mechanics: Theory and Experiment
Udgave nummer9
Antal sider23
StatusUdgivet - 18. sep. 2018

Fingeraftryk Dyk ned i forskningsemnerne om 'Bayesian model selection with fractional Brownian motion'. Sammen danner de et unikt fingeraftryk.