Papers › Bayesian on-line anticipation of critical transitions
Bayesian on-line anticipation of critical transitions
Martin Heßler, Oliver Kamps
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The design of reliable indicators to anticipate critical transitions in complex systems is an im portant task in order to detect a coming sudden regime shift and to take action in order to either prevent it or mitigate its consequences. We present a data-driven method based on the estimation of a parameterized nonlinear stochastic differential equation that allows for a robust anticipation of critical transitions even in the presence of strong noise levels like they are present in many real world systems. Since the parameter estimation is done by a Markov Chain Monte Carlo approach we have access to credibility bands allowing for a better interpretation of the reliability of the results. By introducing a Bayesian linear segment fit it is possible to give an estimate for the time horizon in which the transition will probably occur based on the current state of information. This approach is also able to handle nonlinear time dependencies of the parameter controlling the transition. In general the method could be used as a tool for on-line analysis to detect changes in the resilience of the system and to provide information on the probability of the occurrence of a critical transition in future.
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