Bayesian inference for diffusion-driven mixed-effects models

DOI10.1214/16-BA1009zbMATH Open1384.62109arXiv1507.06807OpenAlexW2963383494WikidataQ61434471 ScholiaQ61434471MaRDI QIDQ1699666FDOQ1699666

Authors: Gavin A. Whitaker, Andrew Golightly, Richard J. Boys, Chris Sherlock 

Publication date: 23 February 2018

Published in: Bayesian Analysis (Search for Journal in Brave)

Abstract: Stochastic differential equations (SDEs) provide a natural framework for modelling intrinsic stochasticity inherent in many continuous-time physical processes. When such processes are observed in multiple individuals or experimental units, SDE driven mixed-effects models allow the quantification of between (as well as within) individual variation. Performing Bayesian inference for such models, using discrete time data that may be incomplete and subject to measurement error is a challenging problem and is the focus of this paper. We extend a recently proposed MCMC scheme to include the SDE driven mixed-effects framework. Fundamental to our approach is the development of a novel construct that allows for efficient sampling of conditioned SDEs that may exhibit nonlinear dynamics between observation times. We apply the resulting scheme to synthetic data generated from a simple SDE model of orange tree growth, and real data consisting of observations on aphid numbers recorded under a variety of different treatment regimes. In addition, we provide a systematic comparison of our approach with an inference scheme based on a tractable approximation of the SDE, that is, the linear noise approximation.

Full work available at URL: https://arxiv.org/abs/1507.06807

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zbMATH Keywords

Markov chain Monte Carlostochastic differential equationmixed-effectslinear noise approximationmodified innovation scheme

Mathematics Subject Classification ID

Bayesian inference (62F15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)

Cited In (7)

• Efficient inference for stochastic differential equation mixed-effects models using correlated particle pseudo-marginal algorithms
• Particle methods for stochastic differential equation mixed effects models
• Correlated pseudo-marginal schemes for time-discretised stochastic kinetic models
• Inference for stochastic kinetic models from multiple data sources for joint estimation of infection dynamics from aggregate reports and virological data
• Accelerating inference for stochastic kinetic models
• Improved bridge constructs for stochastic differential equations
• Estimating reducible stochastic differential equations by conversion to a least-squares problem

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