Conditional particle filters with diffuse initial distributions

DOI10.1007/S11222-020-09975-1MaRDI QIDQ2058728zbMATH OpenOpenAlexWikidataFDO

Authors Santeri Karppinen, Matti Vihola

Publication date 9 December 2021

Published in Statistics and Computing (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2006.14877

zbMATH Keywords

adaptive Markov chain Monte CarloBayesian inferencecompartment modelconditional particle filterdiffuse initialisationhidden Markov modelsmoothingstate space model

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Abstract: Conditional particle filters (CPFs) are powerful smoothing algorithms for general nonlinear/non-Gaussian hidden Markov models. However, CPFs can be inefficient or difficult to apply with diffuse initial distributions, which are common in statistical applications. We propose a simple but generally applicable auxiliary variable method, which can be used together with the CPF in order to perform efficient inference with diffuse initial distributions. The method only requires simulatable Markov transitions that are reversible with respect to the initial distribution, which can be improper. We focus in particular on random-walk type transitions which are reversible with respect to a uniform initial distribution (on some domain), and autoregressive kernels for Gaussian initial distributions. We propose to use on-line adaptations within the methods. In the case of random-walk transition, our adaptations use the estimated covariance and acceptance rate adaptation, and we detail their theoretical validity. We tested our methods with a linear-Gaussian random-walk model, a stochastic volatility model, and a stochastic epidemic compartment model with time-varying transmission rate. The experimental findings demonstrate that our method works reliably with little user specification, and can be substantially better mixing than a direct particle Gibbs algorithm that treats initial states as parameters.

Recommendations

• Coupled conditional backward sampling particle filter
• FILTERING AND SMOOTHING IN STATE SPACE MODELS WITH PARTIALLY DIFFUSE INITIAL CONDITIONS
• Independent Particle Filters
• A uniformly convergent adaptive particle filter
• A note on auxiliary particle filters

Cites work

• An adaptive Metropolis algorithm
• Augmentation schemes for particle MCMC
• Coupled conditional backward sampling particle filter
• Importance sampling correction versus standard averages of reversible MCMCs in terms of the asymptotic variance
• MCMC methods for functions: modifying old algorithms to make them faster
• On disturbance state-space models and the particle marginal Metropolis-Hastings sampler
• On particle Gibbs sampling
• On the ergodicity of the adaptive Metropolis algorithm on unbounded domains
• On the ergodicity properties of some adaptive MCMC algorithms
• On the stability and ergodicity of adaptive scaling Metropolis algorithms
• Particle Gibbs with ancestor sampling
• Particle Markov Chain Monte Carlo Methods
• Robust adaptive Metropolis algorithm with coerced acceptance rate
• Sequential Monte Carlo Samplers
• The Asymptotic Efficiency of Simulation Estimators
• Time series analysis by state space methods.
• Uniform ergodicity of the iterated conditional SMC and geometric ergodicity of particle Gibbs samplers

Cited in

(4)

• Coupled conditional backward sampling particle filter
• Particle Filters for Multiscale Diffusions
• Conditional Particle Filters with Bridge Backward Sampling
• An invitation to adaptive Markov chain Monte Carlo convergence theory

This page was built for publication: Conditional particle filters with diffuse initial distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2058728)