一般连续时间状态空间模型的最大近似似然估计

IF 1.2 4区 数学 Q2 STATISTICS & PROBABILITY Statistical Modelling Pub Date : 2020-10-28 DOI:10.1177/1471082x211065785
S. Mews, R. Langrock, Marius Otting, Houda Yaqine, Jost Reinecke
{"title":"一般连续时间状态空间模型的最大近似似然估计","authors":"S. Mews, R. Langrock, Marius Otting, Houda Yaqine, Jost Reinecke","doi":"10.1177/1471082x211065785","DOIUrl":null,"url":null,"abstract":"Continuous-time state-space models (SSMs) are flexible tools for analysing irregularly sampled sequential observations that are driven by an underlying state process. Corresponding applications typically involve restrictive assumptions concerning linearity and Gaussianity to facilitate inference on the model parameters via the Kalman filter. In this contribution, we provide a general continuous-time SSM framework, allowing both the observation and the state process to be non-linear and non-Gaussian. Statistical inference is carried out by maximum approximate likelihood estimation, where multiple numerical integration within the likelihood evaluation is performed via a fine discretization of the state process. The corresponding reframing of the SSM as a continuous-time hidden Markov model, with structured state transitions, enables us to apply the associated efficient algorithms for parameter estimation and state decoding. We illustrate the modelling approach in a case study using data from a longitudinal study on delinquent behaviour of adolescents in Germany, revealing temporal persistence in the deviation of an individual's delinquency level from the population mean.","PeriodicalId":49476,"journal":{"name":"Statistical Modelling","volume":"1 1","pages":""},"PeriodicalIF":1.2000,"publicationDate":"2020-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"9","resultStr":"{\"title\":\"Maximum approximate likelihood estimation of general continuous-time state-space models\",\"authors\":\"S. Mews, R. Langrock, Marius Otting, Houda Yaqine, Jost Reinecke\",\"doi\":\"10.1177/1471082x211065785\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Continuous-time state-space models (SSMs) are flexible tools for analysing irregularly sampled sequential observations that are driven by an underlying state process. Corresponding applications typically involve restrictive assumptions concerning linearity and Gaussianity to facilitate inference on the model parameters via the Kalman filter. In this contribution, we provide a general continuous-time SSM framework, allowing both the observation and the state process to be non-linear and non-Gaussian. Statistical inference is carried out by maximum approximate likelihood estimation, where multiple numerical integration within the likelihood evaluation is performed via a fine discretization of the state process. The corresponding reframing of the SSM as a continuous-time hidden Markov model, with structured state transitions, enables us to apply the associated efficient algorithms for parameter estimation and state decoding. We illustrate the modelling approach in a case study using data from a longitudinal study on delinquent behaviour of adolescents in Germany, revealing temporal persistence in the deviation of an individual's delinquency level from the population mean.\",\"PeriodicalId\":49476,\"journal\":{\"name\":\"Statistical Modelling\",\"volume\":\"1 1\",\"pages\":\"\"},\"PeriodicalIF\":1.2000,\"publicationDate\":\"2020-10-28\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"9\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Statistical Modelling\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://doi.org/10.1177/1471082x211065785\",\"RegionNum\":4,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"STATISTICS & PROBABILITY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Statistical Modelling","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1177/1471082x211065785","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
引用次数: 9

摘要

连续时间状态空间模型(SSM)是一种灵活的工具,用于分析由底层状态过程驱动的不规则采样序列观测。相应的应用通常涉及关于线性和高斯性的限制性假设,以便于通过卡尔曼滤波器推断模型参数。在这篇文章中,我们提供了一个通用的连续时间SSM框架,允许观测和状态过程都是非线性和非高斯的。统计推断是通过最大近似似然估计来执行的,其中通过状态过程的精细离散化来执行似然评估中的多重数值积分。将SSM相应地重新定义为具有结构化状态转换的连续时间隐马尔可夫模型,使我们能够应用相关的有效算法进行参数估计和状态解码。我们在一个案例研究中使用了德国青少年犯罪行为纵向研究的数据来说明建模方法,揭示了个人犯罪水平与人口平均值偏差的时间持续性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
Maximum approximate likelihood estimation of general continuous-time state-space models
Continuous-time state-space models (SSMs) are flexible tools for analysing irregularly sampled sequential observations that are driven by an underlying state process. Corresponding applications typically involve restrictive assumptions concerning linearity and Gaussianity to facilitate inference on the model parameters via the Kalman filter. In this contribution, we provide a general continuous-time SSM framework, allowing both the observation and the state process to be non-linear and non-Gaussian. Statistical inference is carried out by maximum approximate likelihood estimation, where multiple numerical integration within the likelihood evaluation is performed via a fine discretization of the state process. The corresponding reframing of the SSM as a continuous-time hidden Markov model, with structured state transitions, enables us to apply the associated efficient algorithms for parameter estimation and state decoding. We illustrate the modelling approach in a case study using data from a longitudinal study on delinquent behaviour of adolescents in Germany, revealing temporal persistence in the deviation of an individual's delinquency level from the population mean.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
Statistical Modelling
Statistical Modelling 数学-统计学与概率论
CiteScore
2.20
自引率
0.00%
发文量
16
审稿时长
>12 weeks
期刊介绍: The primary aim of the journal is to publish original and high-quality articles that recognize statistical modelling as the general framework for the application of statistical ideas. Submissions must reflect important developments, extensions, and applications in statistical modelling. The journal also encourages submissions that describe scientifically interesting, complex or novel statistical modelling aspects from a wide diversity of disciplines, and submissions that embrace the diversity of applied statistical modelling.
期刊最新文献
A statistical modelling approach to feedforward neural network model selection The Skellam distribution revisited: Estimating the unobserved incoming and outgoing ICU COVID-19 patients on a regional level in Germany A novel mixture model for characterizing human aiming performance data Fast, effective, and coherent time series modelling using the sparsity-ranked lasso Taking advantage of sampling designs in spatial small-area survey studies
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1