A Generalized Framework for Multiscale State-Space Modeling with Nested Nonlinear Dynamics: An Application to Bayesian Learning under Switching Regimes

TL;DR

A generalized framework for multiscale state-space modeling that incorporates nested nonlinear dynamics, with a specific focus on Bayesian learning under switching regimes, is introduced, allowing for the analysis of how these dynamics influence each other across various temporal scales.

Abstract

In this work, we introduce a generalized framework for multiscale state-space modeling that incorporates nested nonlinear dynamics, with a specific focus on Bayesian learning under switching regimes. Our framework captures the complex interactions between fast and slow processes within systems, allowing for the analysis of how these dynamics influence each other across various temporal scales. We model these interactions through a hierarchical structure in which finer time-scale dynamics are nested within coarser ones, while facilitating feedback between the scales. To promote the practical application of our framework, we address the problem of identifying switching regimes and transient dynamics. In particular, we develop a Bayesian learning approach to estimate latent states and indicators corresponding to switching dynamics, enabling the model to adapt effectively to regime changes. We employ Sequential Monte Carlo, or particle filtering, for inference. We illustrate the utility of our framework through simulations. The results demonstrate that our Bayesian learning approach effectively tracks state transitions and achieves accurate identification of switching dynamics in multiscale systems.

Figures (14)

• Figure 1: Comparison of true states and estimated states for Individual 1, along with the estimated indicator. In the indicator plot, blue indicates the estimated model indicator while black represents the true model indicator.
• Figure 2: Comparison of true states and estimated states for Individual 2, along with the estimated indicator. In the indicator plot, blue indicates the estimated model indicator while black represents the true model indicator.
• Figure 3: Comparison of true states and estimated states for Individual 3, along with the estimated indicator. In the indicator plot, blue indicates the estimated model indicator while black represents the true model indicator.
• Figure 4: Comparison of true states and estimated states for Individual 4, along with the estimated indicator. In the indicator plot, blue indicates the estimated model indicator while black represents the true model indicator.
• Figure 5: Comparison of true states and estimated states for Individual 5, along with the estimated indicator. In the indicator plot, blue indicates the estimated model indicator while black represents the true model indicator.