A Simple Approach to Parameter Inference in State-Space Models
状态空间模型中参数推断的简单方法
基本信息
- 批准号:2611254
- 负责人:
- 金额:--
- 依托单位:
- 依托单位国家:英国
- 项目类别:Studentship
- 财政年份:2021
- 资助国家:英国
- 起止时间:2021 至 无数据
- 项目状态:未结题
- 来源:
- 关键词:
项目摘要
State-space models are popular tools in many areas of science, including economics, biology or ecology, and are mainly used to predict an unobserved (or latent) time series of interest from the available data. For instance, in economics we are often interested in inferring the risk of an asset from its price, while in ecology one may want to use some observations to estimate the evolution of the population size of a given group of animals. As in any statistical models, state-space models depend on parameters that need to be learnt from the data. Parameter inference in this class of models is however known to be challenging, because computing the associated log-likelihood function, or its gradient, requires to integrate out the latent variables, a task which is usually intractable. Particle filter algorithms have proven to be powerful Monte Carlo techniques for estimating expectations with respect to the unobserved variables, and state-of the art methods for parameter inference in state-space models amount to using these Monte Carlo estimates within "standard" algorithms (such as the Metropolis-Hastings algorithm for Bayesian inference, or the gradient ascent algorithm for maximum likelihood estimation). Despite the undeniable usefulness of these approaches, they are typically difficult to implement and to tune for non-experts in Monte Carlo methods, in addition to be computationally expensive even for moderate sample sizes. Consequently, in practice, simpler but theoretically unjustified algorithms are often preferred to learn the model parameter from the data. The most popular of these simpler approaches is probably the one proposed 20 years ago by Liu and West (2001), in which the unknown model parameter is simply treated as an additional latent variable. If this strategy has the merit to be simple to implement it however has the drawback of not being supported by any theoretical results. Following the idea of Liu and West (2001), the objective of this research is to propose a theoretically justified way of treating the parameter of a state-space model as a latent variable in order to learn its value. To achieve this goal this research will build on the approach developed by Gerber and Douc (2021) for parameter estimation in static models, and leverage results on the concentration properties of the Bayesian posterior distributions that arise in partially observed Markov models (see Douc et al., 2020). By providing an easy to implement but theoretically justified approach to parameter inference in the widely used class of state-space models, the research will benefit to a broad range of researchers and practitioners whose scientific conclusions and predictions rely on these models. This project falls within the EPSRC Statistics and Applied Probability research area.
状态空间模型是许多科学领域的流行工具,包括经济学,生物学或生态学,主要用于从可用数据中预测未观察到的(或潜在的)时间序列。例如,在经济学中,我们通常对从价格中推断资产的风险感兴趣,而在生态学中,人们可能希望使用一些观察来估计给定动物群体数量的演变。与任何统计模型一样,状态空间模型依赖于需要从数据中学习的参数。然而,已知这类模型中的参数推断是具有挑战性的,因为计算相关的对数似然函数或其梯度需要整合出潜在变量,这通常是棘手的任务。粒子滤波算法已被证明是用于估计关于未观察到的变量的期望的强大的蒙特卡罗技术,并且用于状态空间模型中的参数推断的最新方法相当于在“标准”算法(诸如用于贝叶斯推断的Metropolis-Hastings算法,或用于最大似然估计的梯度上升算法)内使用这些蒙特卡罗估计。尽管这些方法的不可否认的有用性,他们通常是难以实现和调整的非专家在蒙特卡洛方法,除了计算昂贵,即使是中等样本量。因此,在实践中,更简单但理论上不合理的算法往往是首选从数据中学习模型参数。这些更简单的方法中最流行的可能是20年前由Liu和West(2001)提出的方法,其中未知的模型参数被简单地视为额外的潜在变量。如果这种策略的优点是简单的实现,但它的缺点是没有得到任何理论结果的支持。根据Liu和West(2001)的思想,本研究的目标是提出一种理论上合理的方法,将状态空间模型的参数作为潜变量来处理,以了解其值。为了实现这一目标,本研究将建立在Gerber和Douc(2021)开发的静态模型参数估计方法的基础上,并利用部分观测马尔可夫模型中出现的贝叶斯后验分布的浓度特性的结果(见Douc等人,2020年)。通过提供一种易于实现但理论上合理的方法,在广泛使用的状态空间模型类参数推断,研究将有利于广泛的研究人员和从业者的科学结论和预测依赖于这些模型。 该项目属于EPSRC统计和应用概率研究领域的福尔斯。
项目成果
期刊论文数量(0)
专著数量(0)
科研奖励数量(0)
会议论文数量(0)
专利数量(0)
数据更新时间:{{ journalArticles.updateTime }}
{{
item.title }}
{{ item.translation_title }}
- DOI:
{{ item.doi }} - 发表时间:
{{ item.publish_year }} - 期刊:
- 影响因子:{{ item.factor }}
- 作者:
{{ item.authors }} - 通讯作者:
{{ item.author }}
数据更新时间:{{ journalArticles.updateTime }}
{{ item.title }}
- 作者:
{{ item.author }}
数据更新时间:{{ monograph.updateTime }}
{{ item.title }}
- 作者:
{{ item.author }}
数据更新时间:{{ sciAawards.updateTime }}
{{ item.title }}
- 作者:
{{ item.author }}
数据更新时间:{{ conferencePapers.updateTime }}
{{ item.title }}
- 作者:
{{ item.author }}
数据更新时间:{{ patent.updateTime }}
其他文献
吉治仁志 他: "トランスジェニックマウスによるTIMP-1の線維化促進機序"最新医学. 55. 1781-1787 (2000)
Hitoshi Yoshiji 等:“转基因小鼠中 TIMP-1 的促纤维化机制”现代医学 55. 1781-1787 (2000)。
- DOI:
- 发表时间:
- 期刊:
- 影响因子:0
- 作者:
- 通讯作者:
LiDAR Implementations for Autonomous Vehicle Applications
- DOI:
- 发表时间:
2021 - 期刊:
- 影响因子:0
- 作者:
- 通讯作者:
吉治仁志 他: "イラスト医学&サイエンスシリーズ血管の分子医学"羊土社(渋谷正史編). 125 (2000)
Hitoshi Yoshiji 等人:“血管医学与科学系列分子医学图解”Yodosha(涉谷正志编辑)125(2000)。
- DOI:
- 发表时间:
- 期刊:
- 影响因子:0
- 作者:
- 通讯作者:
Effect of manidipine hydrochloride,a calcium antagonist,on isoproterenol-induced left ventricular hypertrophy: "Yoshiyama,M.,Takeuchi,K.,Kim,S.,Hanatani,A.,Omura,T.,Toda,I.,Akioka,K.,Teragaki,M.,Iwao,H.and Yoshikawa,J." Jpn Circ J. 62(1). 47-52 (1998)
钙拮抗剂盐酸马尼地平对异丙肾上腺素引起的左心室肥厚的影响:“Yoshiyama,M.,Takeuchi,K.,Kim,S.,Hanatani,A.,Omura,T.,Toda,I.,Akioka,
- DOI:
- 发表时间:
- 期刊:
- 影响因子:0
- 作者:
- 通讯作者:
的其他文献
{{
item.title }}
{{ item.translation_title }}
- DOI:
{{ item.doi }} - 发表时间:
{{ item.publish_year }} - 期刊:
- 影响因子:{{ item.factor }}
- 作者:
{{ item.authors }} - 通讯作者:
{{ item.author }}
{{ truncateString('', 18)}}的其他基金
An implantable biosensor microsystem for real-time measurement of circulating biomarkers
用于实时测量循环生物标志物的植入式生物传感器微系统
- 批准号:
2901954 - 财政年份:2028
- 资助金额:
-- - 项目类别:
Studentship
Exploiting the polysaccharide breakdown capacity of the human gut microbiome to develop environmentally sustainable dishwashing solutions
利用人类肠道微生物群的多糖分解能力来开发环境可持续的洗碗解决方案
- 批准号:
2896097 - 财政年份:2027
- 资助金额:
-- - 项目类别:
Studentship
A Robot that Swims Through Granular Materials
可以在颗粒材料中游动的机器人
- 批准号:
2780268 - 财政年份:2027
- 资助金额:
-- - 项目类别:
Studentship
Likelihood and impact of severe space weather events on the resilience of nuclear power and safeguards monitoring.
严重空间天气事件对核电和保障监督的恢复力的可能性和影响。
- 批准号:
2908918 - 财政年份:2027
- 资助金额:
-- - 项目类别:
Studentship
Proton, alpha and gamma irradiation assisted stress corrosion cracking: understanding the fuel-stainless steel interface
质子、α 和 γ 辐照辅助应力腐蚀开裂:了解燃料-不锈钢界面
- 批准号:
2908693 - 财政年份:2027
- 资助金额:
-- - 项目类别:
Studentship
Field Assisted Sintering of Nuclear Fuel Simulants
核燃料模拟物的现场辅助烧结
- 批准号:
2908917 - 财政年份:2027
- 资助金额:
-- - 项目类别:
Studentship
Assessment of new fatigue capable titanium alloys for aerospace applications
评估用于航空航天应用的新型抗疲劳钛合金
- 批准号:
2879438 - 财政年份:2027
- 资助金额:
-- - 项目类别:
Studentship
Developing a 3D printed skin model using a Dextran - Collagen hydrogel to analyse the cellular and epigenetic effects of interleukin-17 inhibitors in
使用右旋糖酐-胶原蛋白水凝胶开发 3D 打印皮肤模型,以分析白细胞介素 17 抑制剂的细胞和表观遗传效应
- 批准号:
2890513 - 财政年份:2027
- 资助金额:
-- - 项目类别:
Studentship
Understanding the interplay between the gut microbiome, behavior and urbanisation in wild birds
了解野生鸟类肠道微生物组、行为和城市化之间的相互作用
- 批准号:
2876993 - 财政年份:2027
- 资助金额:
-- - 项目类别:
Studentship
相似国自然基金
EnSite array指导下对Stepwise approach无效的慢性房颤机制及消融径线设计的实验研究
- 批准号:81070152
- 批准年份:2010
- 资助金额:10.0 万元
- 项目类别:面上项目
相似海外基金
Bi-parameter paracontrolled approach to singular stochastic wave equations
奇异随机波动方程的双参数参数控制方法
- 批准号:
EP/Y033507/1 - 财政年份:2024
- 资助金额:
-- - 项目类别:
Research Grant
The Parameter-driven approach to cross-Bantu typology: Exploring the variation and universals in Bantu languages
跨班图类型学的参数驱动方法:探索班图语言的变异和共性
- 批准号:
23H00622 - 财政年份:2023
- 资助金额:
-- - 项目类别:
Grant-in-Aid for Scientific Research (B)
A Simple Approach to Parameter Inference in State-Space Models
状态空间模型中参数推断的简单方法
- 批准号:
2610815 - 财政年份:2021
- 资助金额:
-- - 项目类别:
Studentship
Collaborative Research: Explorations of Salt Finger Convection in the Extreme Oceanic Parameter Regime: An Asymptotic Modeling Approach.
合作研究:极端海洋参数体系中盐指对流的探索:渐近建模方法。
- 批准号:
2023499 - 财政年份:2020
- 资助金额:
-- - 项目类别:
Standard Grant
Collaborative Research: Explorations of Salt Finger Convection in the Extreme Oceanic Parameter Regime: An Asymptotic Modeling Approach.
合作研究:极端海洋参数体系中盐指对流的探索:渐近建模方法。
- 批准号:
2023541 - 财政年份:2020
- 资助金额:
-- - 项目类别:
Standard Grant
Model selection and parameter extraction for mineral dissolution reactions using a data-driven approach
使用数据驱动方法进行矿物溶解反应的模型选择和参数提取
- 批准号:
19K14827 - 财政年份:2019
- 资助金额:
-- - 项目类别:
Grant-in-Aid for Early-Career Scientists
Identifying innate grammatical principles using the parameter-setting approach to grammar acquisition
使用语法习得的参数设置方法来识别固有语法原则
- 批准号:
19K00569 - 财政年份:2019
- 资助金额:
-- - 项目类别:
Grant-in-Aid for Scientific Research (C)
Behind the scene of arctic-alpine greening – implementing a multi-parameter approach to disentangle the controls of spatio-temporal variation in dwarf-shrub growth
北极高山绿化的幕后——实施多参数方法来理清矮灌木生长时空变化的控制
- 批准号:
426704576 - 财政年份:2019
- 资助金额:
-- - 项目类别:
Research Grants
Approach to liberating solar voltaic structures from the fundamental efficiency-limiting confines of conventional lattice parameter substrates
将太阳能光伏结构从传统晶格参数基板的基本效率限制中解放出来的方法
- 批准号:
463029-2014 - 财政年份:2016
- 资助金额:
-- - 项目类别:
Strategic Projects - Group
Approach to liberating solar voltaic structures from the fundamental efficiency-limiting confines of conventional lattice parameter substrates
将太阳能光伏结构从传统晶格参数基板的基本效率限制中解放出来的方法
- 批准号:
463029-2014 - 财政年份:2015
- 资助金额:
-- - 项目类别:
Strategic Projects - Group