Bayesian identification of stochastic linear systems with observations at multiple scales

Abstract

A Bayesian system identification approach to modelling stochastic linear dynamical systems involving multiple scales is proposed, where multiscale means that the output of the system is observed at one (coarse) resolution whilst the input of the system can only be observed at another (fine) resolution. The proposed method identifies linear models at different levels of resolution, where the link between the two resolutions is realised via a non-overlapping averaging process. The averaged data at the coarse level of resolution is assumed to be a set of observations from an implied process so that the implied process and the output of the system result in an errors-in-variables model at the coarse level of resolution. By using a Bayesian inference and Markov chain Monte Carlo method, such a modelling framework results in different dynamical models at different levels of resolution at the same time. The new method is also shown to have the ability to combine information across different levels of resolution. Simulation examples are provided to show the efficiency of the new method. Furthermore, an application to the analysis of the relativistic electron intensity at the geosynchronous orbit is also included.