r****y
发帖数: 1437 | 1 For a set of stochastic ODE
dX/dt = A*X + F*e,
where e is white noise with known variance and mean
I know how to do without noise term. But with the noise term, what is the
most common way to do the simulation? Generate a bunch of random numbers first
then add them in one by one? Or a more "educated" method than this?
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h***o
发帖数: 539 | 2 need more detail about F and e
if F and e have good features, X is a Guassian distribution, its mean and
variance can be obtained by solving two ODEs.
Otherwise, Monte Carlo
【在 r****y 的大作中提到】
: For a set of stochastic ODE
: dX/dt = A*X + F*e,
: where e is white noise with known variance and mean
: I know how to do without noise term. But with the noise term, what is the
: most common way to do the simulation? Generate a bunch of random numbers first
: then add them in one by one? Or a more "educated" method than this?
:
|
r****y
发帖数: 1437 | 3
actually X is a set of variables. Here I am sovling a stochastic ODEs, not
just one.
Let me flip coin for the question: I have raw time series for a bunch of
variables. Someone said they all can be well simulated using stochastic ODEs.
So he goes ahead and use dX/dt = A*X + F*e to fit my time series. Now if I
wanna test how good such stochastic ODEs can predict future time series, which
way is the most effective way to tell?
Thanks. :-)
the
first
【在 h***o 的大作中提到】
: need more detail about F and e
: if F and e have good features, X is a Guassian distribution, its mean and
: variance can be obtained by solving two ODEs.
: Otherwise, Monte Carlo
|
h***o
发帖数: 539 | 4 read read some stat book ba...there should be some standard ways to test
this kind of conclusions.
【在 r****y 的大作中提到】
:
: actually X is a set of variables. Here I am sovling a stochastic ODEs, not
: just one.
: Let me flip coin for the question: I have raw time series for a bunch of
: variables. Someone said they all can be well simulated using stochastic ODEs.
: So he goes ahead and use dX/dt = A*X + F*e to fit my time series. Now if I
: wanna test how good such stochastic ODEs can predict future time series, which
: way is the most effective way to tell?
: Thanks. :-)
: the
|
r****y
发帖数: 1437 | 5
Any good recommendations? I browsed several stat books, but none
直重要害。
【在 h***o 的大作中提到】
: read read some stat book ba...there should be some standard ways to test
: this kind of conclusions.
|
h***o
发帖数: 539 | 6 try try some time series books....u'd better ask in stat board
【在 r****y 的大作中提到】
:
: Any good recommendations? I browsed several stat books, but none
: 直重要害。
|
f********r
发帖数: 21 | 7 I have the same problem. Just borrowed a stochastic differential equatio
ns book and I am still learning. Cannot answer your question now. //Hany
an
【在 r****y 的大作中提到】
:
: Any good recommendations? I browsed several stat books, but none
: 直重要害。
|
f********r
发帖数: 21 | 8 Here is one article maybe helpful
http://epubs.siam.org/sam-bin/dbq/article/37830
【在 r****y 的大作中提到】
:
: Any good recommendations? I browsed several stat books, but none
: 直重要害。
|
|
