Method ao/mcmc_td


  MCMC_TD estimates paramters using a Monte Carlo Markov Chain.
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  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
 
  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
 
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Method Details
Access public
Defining Class ao
Sealed 0
Static 0

Parameter Description

Default

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
  • 1
  • 0
Set to true to use bigger jumps in parameter space during annealing and cool down.
SIMPLEX 1
  • 1
  • 0
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
  • 0
  • 1
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
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Some information of the method ao/mcmc_td are listed below:
Class name ao
Method name mcmc_td
Category Signal Processing
Package name ltpda
VCS Version 3542afe99dea25c636b7ac3b82a9f6f8be9d447d
Min input args 1
Max input args -1
Min output args 1
Max output args -1




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