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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 |
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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 |
| 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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