On the Bias of the SIR Filter in Parameter Estimation of the Dynamics Process of State Space Models

As a popular nonlinear estimation tool, the sampling importance resampling (SIR) filter has been applied with the expectation–maximization (EM) principle, including the typical maximum a posteriori (MAP) estimation and maximum likelihood (ML) estimation, for estimating the parameters of the state space model (SSM). This paper concentrates on an inevitable bias existing in the EM-SIR filter for estimating the dynamics process of the SSM. It is analyzed that the root reason for the bias is the sample impoverishment caused by the resampling procedure employed in the filter. A process noise simulated for the particle propagation that is larger than the real noise involved with the true state will be helpful to counteract sample impoverishment, thereby providing better filtering result. Correspondingly, the EM-SIR filter tends to yield a biased (larger-than-the-truth) estimate of the process noise if it is unknown and needs to be estimated. The bias is elaborated via a straightforward roughening approach by means of both qualitative logical deduction and quantitative numerical simulation. However, it seems hard to fully remove this bias in practice

The Extended Parameter Filter

The parameters of temporal models, such as dynamic Bayesian networks, may be modelled in a Bayesian context as static or atemporal variables that influence transition probabilities at every time step. Particle filters fail for models that include such variables, while methods that use Gibbs sampling of parameter variables may incur a per-sample cost that grows linearly with the length of the observation sequence. Storvik devised a method for incremental computation of exact sufficient statistics that, for some cases, reduces the per-sample cost to a constant. In this paper, we demonstrate a connection between Storvik's filter and a Kalman filter in parameter space and establish more general conditions under which Storvik's filter works. Drawing on an analogy to the extended Kalman filter, we develop and analyze, both theoretically and experimentally, a Taylor approximation to the parameter posterior that allows Storvik's method to be applied to a broader class of models. Our experiments on both synthetic examples and real applications show improvement over existing methods

Fitting stochastic epidemic models to gene genealogies using linear noise approximation

Phylodynamics is a set of population genetics tools that aim at reconstructing demographic history of a population based on molecular sequences of individuals sampled from the population of interest. One important task in phylodynamics is to estimate changes in (effective) population size. When applied to infectious disease sequences such estimation of population size trajectories can provide information about changes in the number of infections. To model changes in the number of infected individuals, current phylodynamic methods use non-parametric approaches, parametric approaches, and stochastic modeling in conjunction with likelihood-free Bayesian methods. The first class of methods yields results that are hard-to-interpret epidemiologically. The second class of methods provides estimates of important epidemiological parameters, such as infection and removal/recovery rates, but ignores variation in the dynamics of infectious disease spread. The third class of methods is the most advantageous statistically, but relies on computationally intensive particle filtering techniques that limits its applications. We propose a Bayesian model that combines phylodynamic inference and stochastic epidemic models, and achieves computational tractability by using a linear noise approximation (LNA) --- a technique that allows us to approximate probability densities of stochastic epidemic model trajectories. LNA opens the door for using modern Markov chain Monte Carlo tools to approximate the joint posterior distribution of the disease transmission parameters and of high dimensional vectors describing unobserved changes in the stochastic epidemic model compartment sizes (e.g., numbers of infectious and susceptible individuals). We apply our estimation technique to Ebola genealogies estimated using viral genetic data from the 2014 epidemic in Sierra Leone and Liberia.Comment: 43 pages, 6 figures in the main tex

Langevin and Hamiltonian based Sequential MCMC for Efficient Bayesian Filtering in High-dimensional Spaces

Nonlinear non-Gaussian state-space models arise in numerous applications in statistics and signal processing. In this context, one of the most successful and popular approximation techniques is the Sequential Monte Carlo (SMC) algorithm, also known as particle filtering. Nevertheless, this method tends to be inefficient when applied to high dimensional problems. In this paper, we focus on another class of sequential inference methods, namely the Sequential Markov Chain Monte Carlo (SMCMC) techniques, which represent a promising alternative to SMC methods. After providing a unifying framework for the class of SMCMC approaches, we propose novel efficient strategies based on the principle of Langevin diffusion and Hamiltonian dynamics in order to cope with the increasing number of high-dimensional applications. Simulation results show that the proposed algorithms achieve significantly better performance compared to existing algorithms