Simulation based sequential Monte Carlo methods for discretely observed Markov processes

Parameter estimation for discretely observed Markov processes is a challenging problem. However, simulation of Markov processes is straightforward using the Gillespie algorithm. We exploit this ease of simulation to develop an effective sequential Monte Carlo (SMC) algorithm for obtaining samples from the posterior distribution of the parameters. In particular, we introduce two key innovations, coupled simulations, which allow us to study multiple parameter values on the basis of a single simulation, and a simple, yet effective, importance sampling scheme for steering simulations towards the observed data. These innovations substantially improve the efficiency of the SMC algorithm with minimal effect on the speed of the simulation process. The SMC algorithm is successfully applied to two examples, a Lotka-Volterra model and a Repressilator model.Comment: 27 pages, 5 figure

Multitype randomized Reed--Frost epidemics and epidemics upon random graphs

We consider a multitype epidemic model which is a natural extension of the randomized Reed--Frost epidemic model. The main result is the derivation of an asymptotic Gaussian limit theorem for the final size of the epidemic. The method of proof is simpler, and more direct, than is used for similar results elsewhere in the epidemics literature. In particular, the results are specialized to epidemics upon extensions of the Bernoulli random graph.Comment: Published at http://dx.doi.org/10.1214/105051606000000123 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Optimal scaling for partially updating MCMC algorithms

In this paper we shall consider optimal scaling problems for high-dimensional Metropolis--Hastings algorithms where updates can be chosen to be lower dimensional than the target density itself. We find that the optimal scaling rule for the Metropolis algorithm, which tunes the overall algorithm acceptance rate to be 0.234, holds for the so-called Metropolis-within-Gibbs algorithm as well. Furthermore, the optimal efficiency obtainable is independent of the dimensionality of the update rule. This has important implications for the MCMC practitioner since high-dimensional updates are generally computationally more demanding, so that lower-dimensional updates are therefore to be preferred. Similar results with rather different conclusions are given for so-called Langevin updates. In this case, it is found that high-dimensional updates are frequently most efficient, even taking into account computing costs.Comment: Published at http://dx.doi.org/10.1214/105051605000000791 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

The basic reproduction number, R0R_0, in structured populations

In this paper, we provide a straightforward approach to defining and deriving the key epidemiological quantity, the basic reproduction number, $R_0$, for Markovian epidemics in structured populations. The methodology derived is applicable to, and demonstrated on, both $SIR$ and $SIS$ epidemics and allows for population as well as epidemic dynamics. The approach taken is to consider the epidemic process as a multitype process by identifying and classifying the different types of infectious units along with the infections from, and the transitions between, infectious units. For the household model, we show that our expression for $R_0$ agrees with earlier work despite the alternative nature of the construction of the mean reproductive matrix, and hence, the basic reproduction number.Comment: 26 page

Some analytical applications of electrogenerated chemiluminescence

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A household SIR epidemic model incorporating time of day effects

During the course of a day an individual typically mixes with different groups of individuals. Epidemic models incorporating population structure with individuals being able to infect different groups of individuals have received extensive attention in the literature. However, almost exclusively the models assume that individuals are able to simultaneously infect members of all groups, whereas in reality individuals will typically only be able to infect members of any group they currently reside in. In the current work we develop a model where individuals move between a community and their household during the course of the day, only infecting within their current group. By defining a novel branching process approximation with an explicit expression for the probability generating function of the offspring distribution, we are able to derive the probability of a major epidemic outbreak