Bayesian parameter inference for partially observed stopped processes

Ajay Jasra, Nikolas Kantas, Adam Persing

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

Abstract

We consider Bayesian parameter inference associated to partially-observed stochastic processes that start from a set B 0 and are stopped or killed at the first hitting time of a known set A. Such processes occur naturally within the context of a wide variety of applications. The associated posterior distributions are highly complex and posterior parameter inference requires the use of advanced Markov chain Monte Carlo (MCMC) techniques. Our approach uses a recently introduced simulation methodology, particle Markov chain Monte Carlo (PMCMC) (Andrieu et al. 2010), where sequential Monte Carlo (SMC) (Doucet et al. 2001; Liu 2001) approximations are embedded within MCMC. However, when the parameter of interest is fixed, standard SMC algorithms are not always appropriate for many stopped processes. In Chen et al. (2005), Del Moral (2004), the authors introduce SMC approximations of multi-level Feynman-Kac formulae, which can lead to more efficient algorithms. This is achieved by devising a sequence of sets from B0 to A and then performing the resampling step only when the samples of the process reach intermediate sets in the sequence. The choice of the intermediate sets is critical to the performance of such a scheme. In this paper, we demonstrate that multi-level SMC algorithms can be used as a proposal in PMCMC. In addition, we introduce a flexible strategy that adapts the sets for different parameter proposals. Our methodology is illustrated on the coalescent model with migration. © 2012 Springer Science+Business Media, LLC.
Original languageEnglish (US)
JournalStatistics and Computing
Volume24
Issue number1
DOIs
StatePublished - Jan 1 2014
Externally publishedYes

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