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2018 ; 9
(1
): 1803
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Bayesian model selection for complex dynamic systems
#MMPMID29728622
Mark C
; Metzner C
; Lautscham L
; Strissel PL
; Strick R
; Fabry B
Nat Commun
2018[May]; 9
(1
): 1803
PMID29728622
show ga
Time series generated by complex systems like financial markets and the earth's
atmosphere often represent superstatistical random walks: on short time scales,
the data follow a simple low-level model, but the model parameters are not
constant and can fluctuate on longer time scales according to a high-level model.
While the low-level model is often dictated by the type of the data, the
high-level model, which describes how the parameters change, is unknown in most
cases. Here we present a computationally efficient method to infer the time
course of the parameter variations from time-series with short-range
correlations. Importantly, this method evaluates the model evidence to
objectively select between competing high-level models. We apply this method to
detect anomalous price movements in financial markets, characterize cancer cell
invasiveness, identify historical policies relevant for working safety in coal
mines, and compare different climate change scenarios to forecast global warming.