Inference of fields defined in space and time from observational data is a core discipline in many scientific areas. This work approaches the problem in a Bayesian framework. The proposed method is based on statistically homogeneous random fields defined in space and time and demonstrates how to reconstruct the field together with its prior correlation structure from data. The prior model of the correlation structure is described in a non-parametric fashion and solely builds on fundamental physical assumptions such as space-time homogeneity, locality, and causality. These assumptions are sufficient to successfully infer the field and its prior correlation structure from noisy and incomplete data of a single realization of the process as demonstrated via multiple numerical examples.
- Pub Date:
- February 2019
- Physics - Data Analysis;
- Statistics and Probability;
- Condensed Matter - Statistical Mechanics;
- Statistics - Methodology
- NIFTy5 release paper, 25 pages, 11 figures, code is part of NIFTy5 release at https://gitlab.mpcdf.mpg.de/ift/nifty