LTPDA Toolbox™ | contents | ![]() ![]() |
MCMC_TD estimates paramters using a Monte Carlo Markov Chain. %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% DESCRIPTION: MCMC estimate the parameters of a given model given inputs, outputs and noise using a Metropolis algorithm. CALL: b = mcmc(out,pl) INPUTS: out - analysis objects with measured outputs pl - parameter list OUTPUTS: b - pest object contatining estimate information Parameters Description VERSION: $Id: mcmc_td.m,v 1.6 2011/04/08 08:56:12 hewitson Exp $ References: "Catching supermassive black holes binaries without a net" N.J. Cornish, E.K. Porter, Phys.Rev.D 75, 021301, 2007 TODO: multiple chain option not implemented yet metropolis/hastings not implemented empty initial values not implemented %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
Method Details | |
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Access | public |
Defining Class | ao |
Sealed | 0 |
Static | 0 |
Sets for this method … |
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Default |
Default |
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no description | |||
Key | Default Value | Options | Description |
N | 1000 | none | number of samples of the chain. |
COV | 0.0001 | none | covariance of the gaussian jumping distribution. |
PARNAMES | {} [0x0] | none | A cell array of evaluated parameters. |
MODEL | '' | none | The model for the system, at the moment only ssm is supported |
SEARCH | 1 |
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Set to true to use bigger jumps in parameter space during annealing and cool down. |
SIMPLEX | 1 |
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Set to true to perform a simplex search to find the starting parameters of the MCMC chain. |
HEAT | 1 | none | The heat index flattening likelihood surface during annealing. |
TC | '' | none | An array of two values setting the initial and final value for the cooling down. |
X0 | [] | none | The proposed initial values. |
JUMPS | [] | none | An array of four numbers setting the rescaling of the covariance matrix during the search phase. |
PLOT | [] | none | Select indexes of the parameters to be plotted. |
DEBUG | 0 |
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Set to true to get debug information of the MCMC process. |
INPUT | [] | none | An array of analysis object containing the input signals |
INNAMES | {} [0x0] | none | Cell array of input port names |
OUTNAMES | {} [0x0] | none | Cell array of output port names |
NOISE | [] | none | An array of analysis objects containg noise series |
CUTBEFORE | [] | none | the data samples to cut at the starting of the series |
CUTAFTER | [] | none | the data samples to cut at the ending of the series |
Some information of the method ao/mcmc_td are listed below: | |
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Class name | ao |
Method name | mcmc_td |
Category | Signal Processing |
CVS Version | $Id: mcmc_td.m,v 1.6 2011/04/08 08:56:12 hewitson Exp $ |
Min input args | 1 |
Max input args | -1 |
Min output args | 1 |
Max output args | -1 |
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Method: ao/mcmc | Method: ao/noisegen1D | ![]() |
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