Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: A probabilistic scheme for joint parameter estimation and state
  prediction in complex dynamical systems   Many problems in the geophysical sciences demand the ability to calibrate the
parameters and predict the time evolution of complex dynamical models using
sequentially-collected data. Here we introduce a general methodology for the
joint estimation of the static parameters and the forecasting of the state
variables of nonlinear, and possibly chaotic, dynamical models. The proposed
scheme is essentially probabilistic. It aims at recursively computing the
sequence of joint posterior probability distributions of the unknown model
parameters and its (time varying) state variables conditional on the available
observations. The latter are possibly partial and contaminated by noise. The
new framework combines a Monte Carlo scheme to approximate the posterior
distribution of the fixed parameters with filtering (or {\em data
assimilation}) techniques to track and predict the distribution of the state
variables. For this reason, we refer to the proposed methodology as {\em nested
filtering}. In this paper we specifically explore the use of Gaussian filtering
methods, but other approaches fit naturally within the new framework. As an
illustrative example, we apply three different implementations of the
methodology to the tracking of the state, and the estimation of the fixed
parameters, of a stochastic two-scale Lorenz 96 system. This model is commonly
used to assess data assimilation procedures in meteorology. For this example,
we compare different nested filters and show estimation and forecasting results
for a 4,000-dimensional system.

33
The categories of this paper are: plasm-ph
7
The categories of this paper are: hep-th
31
The categories of this paper are: ao-sci
18
The categories of this paper are: econ
26
The categories of this paper are: bayes-an
24
The categories of this paper are: dg-ga
17
The categories of this paper are: q-fin
35
The categories of this paper are: mtrl-th
19
The categories of this paper are: eess
21
The categories of this paper are: adap-org
37
The categories of this paper are: supr-con
5
The categories of this paper are: gr-qc
28
The categories of this paper are: alg-geom
14
The categories of this paper are: math-ph
20
The categories of this paper are: acc-phys
15
The categories of this paper are: nucl-ex