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Getting started with particle Metropolis-Hastings for inference in nonlinear dynamical models
Department of Computer and Information Science, Linköping University, Linköping, Sweden.
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Systems and Control. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Automatic control.ORCID iD: 0000-0001-5183-234X
2019 (English)In: Journal of Statistical Software, ISSN 1548-7660, E-ISSN 1548-7660, Vol. 88, no CN2, p. 1-41Article in journal (Refereed) Published
Abstract [en]

This tutorial provides a gentle introduction to the particle Metropolis-Hastings (PMH) algorithm for parameter inference in nonlinear state-space models together with a software implementation in the statistical programming language R. We employ a step-by-step approach to develop an implementation of the PMH algorithm (and the particle filter within) together with the reader. This final implementation is also available as the package pmhtutorial in the CRAN repository. Throughout the tutorial, we provide some intuition as to how the algorithm operates and discuss some solutions to problems that might occur in practice. To illustrate the use of PMH, we consider parameter inference in a linear Gaussian state-space model with synthetic data and a nonlinear stochastic volatility model with real-world data.

Place, publisher, year, edition, pages
2019. Vol. 88, no CN2, p. 1-41
Keywords [en]
Bayesian inference, state-space models, particle filtering, particle Markov chain Monte Carlo, stochastic volatility model
National Category
Probability Theory and Statistics Control Engineering
Identifiers
URN: urn:nbn:se:uu:diva-368618DOI: 10.1807/jss.v088.c02ISI: 000463413300001OAI: oai:DiVA.org:uu-368618DiVA, id: diva2:1268441
Funder
Swedish Foundation for Strategic Research , RIT15-0012Swedish Research Council, 621-2013-5524Available from: 2018-12-05 Created: 2018-12-05 Last updated: 2019-04-30Bibliographically approved

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CiteExportLink to record
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Cite
Citation style
  • apa
  • ieee
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  • Other style
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Language
  • de-DE
  • en-GB
  • en-US
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  • nn-NB
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More languages
Output format
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