Many real-world processes exhibit long-range dependence, where the current state depends on a slowly decaying trace of past states rather than on the most recent state alone. This paper studies system identification for discrete-time fractional-order linear time-invariant systems from a single observed trajectory of length $t$, a setting that captures such non-Markovian dynamics through the Gr\"unwald--Letnikov difference operator. Unlike Markovian systems, fractional-order systems couple estimation across the entire history, making both statistical analysis and practical identification more challenging. We propose \emph{Fractional-Order Ordinary-Least-Squares Grid-Search (FO-GS)}, a simple two-stage estimator that exploits the diagonal structure of the fractional-difference operator to decouple the identification problem row-wise. Under the stability assumption, we establish high-probability, non-asymptotic error bounds for estimating both the fractional order and the system matrix in the heterogeneous setting, with both estimation errors scaling as \(\mathcal{O}(t^{-1/2})\). Through experiments, we show that \emph{FO-GS} outperforms existing baselines in recovering both the fractional order and the underlying system dynamics.
Accurately learning nonlinear dynamics from a finite-duration experiment requires the efficient collection of informative data. We address this challenge for stochastic controlled nonlinear dynamical systems whose state is observed along a single trajectory. Our goal is to reconstruct the unknown controlled state-incre...
Juncal Arbelaiz, Anushri Arora, Jonathan W. Pillow· 0 citations
This paper shows that the original stationary-equilibrium problem can be reduced to a finite-dimensional self-consistency equation, separating steady-state analysis of the underlying Markov system from equilibrium computation, and uses properties of the resulting self-consistency map to guide the choice among fixed-poi...
We study trend estimation in state-space models in which the trend has a fractional stochastic difference of order $d>0$ and the observation errors form a short-range-dependent stationary process. Using finite-sequence fractional summation and differencing operators, we analyze the penalized least-squares estimator obt...
The results show that PhiBE-Flow accurately recovers probability flows of stochastic dynamics, preserves multiscale physical statistics, and improves video generation performance over representative baselines.
We study the reconstruction of an unknown dynamical system from a single noisy scalar time series. The goal is to recover the underlying dynamics for forecasting. We introduce a method that uses differential embedding coordinates to identify a rational closure of the embedding dynamics directly from data. The closure i...
This work exploits the affine state update to obtain the exact one-step conditional-mean sensitivity by differentiating normalized reaction propensities, and defines the propensity straight-through (PST) estimator, a temperature- and Gumbel-free path to scalable gradient-based learning through exact stochastic trajecto...
Jose M. G. Vilar, Leonor Saiz· 0 citations
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