Sequential Bayesian inference for static parameters in dynamic state space models

Arnab Bhattacharya; Simon Wilson

Home/Archive/arXiv

arXiv · 1408.4559

Sequential Bayesian inference for static parameters in dynamic state space models

Arnab Bhattacharya·Simon Wilson

View original source ↗Read source document ↗Export metadata ↓

Abstract

A method for sequential Bayesian inference of the static parameters of a dynamic state space model is proposed. The method is based on the observation that many dynamic state space models have a relatively small number of static parameters (or hyper-parameters), so that in principle the posterior can be computed and stored on a discrete grid of practical size which can be tracked dynamically. Further to this, this approach is able to use any existing methodology which computes the filtering and prediction distributions of the state process. Kalman filter and its extensions to non-linear/non-Gaussian situations have been used in this paper. This is illustrated using several applications: linear Gaussian model, Binomial model, stochastic volatility model and the extremely non-linear univariate non-stationary growth model. Performance has been compared to both existing on-line method and off-line methods.

Explore related subjects

stat.CO

Keep this discovery

BibTeX RIS

Arnab Bhattacharya, Simon Wilson. 2014-08-20. Sequential Bayesian inference for static parameters in dynamic state space models. https://arxiv.org/abs/1408.4559

Cite the original work for its findings. Save a collection to share your selection of sources.

KEEP EXPLORING

Related papers

arXiv2026

Extended One-Liners for the Gamma, Poisson, and Binomial Distributions

We demonstrate explicit transformations of three independent uniforms with exact Gamma$(a,1)$, $a>0$, Poisson$(\lambda)$, $\lambda>0$, and Binomial$(N,p)$, $N\geq 1$, $0\leq p \leq 1$ laws using only elementary operations.

stat.CO↗

arXiv2026

Estimating Hierarchically Rank Structured Covariance Matrices

We consider the problem of estimating a high-dimensional covariance matrix from a very limited number of samples. This problem is ubiquitous in computational fluid dynamics, where a small number of fluid snapshots must be used to construct a Gramian matrix determining a reduced-order model, as well as in computational geoscience, where a small ensemble of Earth system forecasts must be used to estimate the covariance matrix associated with the forecast uncertainty. It is common practice to regularize the small-sample covariance by imposing a "localization" structure that enforces a physically realistic correlation length scale, imposing a sparsity constraint, "shrinking" towards a prescribed target, or attenuating small correlations. We propose an alternate technique that regularizes the small-sample covariance by imposing hierarchical rank structure. Compared to regularization methods that assume sparsity such as spatial localization, hierarchical rank structure accommodates a wider range of covariance matrices, roughly corresponding to situations where long-range correlations vary more smoothly than short-range ones. It also results in a data-sparse matrix format that permits highly efficient matrix-vector products. We present theory and algorithms which show how to efficiently estimate a high-dimensional, hierarchically rank structured covariance matrix from limited samples. Through an error analysis and numerical experiments with a variety of model problems, we demonstrate that these techniques are effective at reducing sampling errors, and that in many cases they achieve smaller estimation error than conventional techniques.

stat.CO↗

arXiv2026

Optimal Slice-Adaptive Tuning of Hybrid Slice Sampling

Slice sampling is a Markov chain Monte Carlo algorithm that draws its next state uniformly from a "slice"---a super-level set of the target density function---at each iteration, thereby providing automatic local adaptivity to the scale of the target. In practice the exact slice is not known, so general-purpose implementations use an approximate slice that is grown from a starting interval of length $w>0$, with a computational cost that depends on $w$. This work presents an analysis of the average per-iteration number of target density evaluations, as a function of $w$, of hybrid slice sampling with various slice-finding schemes for targets with contiguous slices. The paper uses the results of the analysis to develop automated, slice-adaptive tuning schemes along with suboptimality bounds and asymptotic convergence guarantees. Simulations demonstrate that the tuning schemes reliably yield near-optimal slice-adaptive tuning with essentially no dependence on the initial setting of $w$.

stat.CO↗