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Bayesian inference with information content model check for Langevin equations.

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The Bayesian data analysis framework has been proven to be a systematic and effective method of parameter inference and model selection for stochastic processes. In this work, we introduce an… Click to show full abstract

The Bayesian data analysis framework has been proven to be a systematic and effective method of parameter inference and model selection for stochastic processes. In this work, we introduce an information content model check that may serve as a goodness-of-fit, like the χ^{2} procedure, to complement conventional Bayesian analysis. We demonstrate this extended Bayesian framework on a system of Langevin equations, where coordinate-dependent mobilities and measurement noise hinder the normal mean-squared displacement approach.

Keywords: model check; model; langevin equations; content model; information content; inference

Journal Title: Physical Review E
Year Published: 2017

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