Conditional particle filters with diffuse initial distributions
Karppinen, S., & Vihola, M. (2021). Conditional particle filters with diffuse initial distributions. Statistics and Computing, 31(3), Article 24. https://doi.org/10.1007/s11222-020-09975-1
Published inStatistics and Computing
© The Author(s) 2021
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 online 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. ...
Parent publication ISBN0960-3174
Publication in research information system
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Related funder(s)Academy of Finland
Funding program(s)Academy Project, AoF
Additional information about fundingThis work was supported by Academy of Finland Grant 315619.
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