Exact and computationally efficient Bayesian inference for generalized Markov modulated Poisson processes

DOI10.1007/S11222-021-10074-YMaRDI QIDQ2114041zbMATH OpenOpenAlexFDO

Authors Flávio B. Gonçalves, Lívia M. Dutra, Roger W. C. Silva

Publication date 14 March 2022

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

Full work available at URL https://arxiv.org/abs/2006.09949

zbMATH Keywords

Metropolis-Hastings algorithmfast computationuniformization

Mathematics Subject Classification ID

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

Abstract: Statistical modeling of point patterns is an important and common problem in several areas. The Poisson process is the most common process used for this purpose, in particular, its generalization that considers the intensity function to be stochastic. This is called a Cox process and different choices to model the dynamics of the intensity gives rise to a wide range of models. We present a new class of unidimensional Cox process models in which the intensity function assumes parametric functional forms that switch among them according to a continuous-time Markov chain. A novel methodology is proposed to perform exact Bayesian inference based on MCMC algorithms. The term exact refers to the fact that no discrete time approximation is used and Monte Carlo error is the only source of inaccuracy. The reliability of the algorithms depends on a variety of specifications which are carefully addressed, resulting in a computationally efficient (in terms of computing time) algorithm and enabling its use with large data sets. Simulated and real examples are presented to illustrate the efficiency and applicability of the proposed methodology. A specific model to fit epidemic curves is proposed and used to analyze data from Dengue Fever in Brazil and COVID-19 in some countries.

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Cited in

(2)

• A novel point process model for COVID-19: multivariate recursive Hawkes process
• Efficient Bayesian inference for COM-Poisson regression models

Describes a project that uses

Uses Software

• Ox
• covid19br

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