Time series analysis via mechanistic models

DOI10.1214/08-AOAS201zbMATH Open1160.62080arXiv0802.0021OpenAlexW3100505226WikidataQ56784335 ScholiaQ56784335MaRDI QIDQ1018622FDOQ1018622

Authors: Carles Bretó, Daihai He, Edward L. Ionides, A. A. King 

Publication date: 20 May 2009

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Abstract: The purpose of time series analysis via mechanistic models is to reconcile the known or hypothesized structure of a dynamical system with observations collected over time. We develop a framework for constructing nonlinear mechanistic models and carrying out inference. Our framework permits the consideration of implicit dynamic models, meaning statistical models for stochastic dynamical systems which are specified by a simulation algorithm to generate sample paths. Inference procedures that operate on implicit models are said to have the plug-and-play property. Our work builds on recently developed plug-and-play inference methodology for partially observed Markov models. We introduce a class of implicitly specified Markov chains with stochastic transition rates, and we demonstrate its applicability to open problems in statistical inference for biological systems. As one example, these models are shown to give a fresh perspective on measles transmission dynamics. As a second example, we present a mechanistic analysis of cholera incidence data, involving interaction between two competing strains of the pathogen Vibrio cholerae.

Full work available at URL: https://arxiv.org/abs/0802.0021

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zbMATH Keywords

sequential Monte Carlocholeramaximum likelihoodstate space modelsfilteringmeasleseqidispersion of Poisson systems

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Inference from stochastic processes and prediction (62M20) Dynamical systems in biology (37N25)

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Uses Software

• R
• WinBUGS
• pomp

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