Panel Data Analysis via Mechanistic Models
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Publication:5120656
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to biology and medical sciences; meta analysis (62P10) Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75)
Abstract: Panel data, also known as longitudinal data, consist of a collection of time series. Each time series, which could itself be multivariate, comprises a sequence of measurements taken on a distinct unit. Mechanistic modeling involves writing down scientifically motivated equations describing the collection of dynamic systems giving rise to the observations on each unit. A defining characteristic of panel systems is that the dynamic interaction between units should be negligible. Panel models therefore consist of a collection of independent stochastic processes, generally linked through shared parameters while also having unit-specific parameters. To give the scientist flexibility in model specification, we are motivated to develop a framework for inference on panel data permitting the consideration of arbitrary nonlinear, partially observed panel models. We build on iterated filtering techniques that provide likelihood-based inference on nonlinear partially observed Markov process models for time series data. Our methodology depends on the latent Markov process only through simulation; this plug-and-play property ensures applicability to a large class of models. We demonstrate our methodology on a toy example and two epidemiological case studies. We address inferential and computational issues arising due to the combination of model complexity and dataset size.
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(13)- Time series analysis via mechanistic models
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