Coupling stochastic EM and Approximate Bayesian Computation for parameter inference in state-space models

Umberto Picchini; Adeline Samson

doi:10.1007/s00180-017-0770-y

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arXiv · 1512.04831

Coupling stochastic EM and Approximate Bayesian Computation for parameter inference in state-space models

Umberto Picchini·Adeline Samson

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Abstract

We study the class of state-space models and perform maximum likelihood estimation for the model parameters. We consider a stochastic approximation expectation-maximization (SAEM) algorithm to maximize the likelihood function with the novelty of using approximate Bayesian computation (ABC) within SAEM. The task is to provide each iteration of SAEM with a filtered state of the system, and this is achieved using an ABC sampler for the hidden state, based on sequential Monte Carlo (SMC) methodology. It is shown that the resulting SAEM-ABC algorithm can be calibrated to return accurate inference, and in some situations it can outperform a version of SAEM incorporating the bootstrap filter. Two simulation studies are presented, first a nonlinear Gaussian state-space model then a state-space model having dynamics expressed by a stochastic differential equation. Comparisons with iterated filtering for maximum likelihood inference, and Gibbs sampling and particle marginal methods for Bayesian inference are presented.

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BibTeX RIS

Umberto Picchini, Adeline Samson. 2015-12-15. Coupling stochastic EM and Approximate Bayesian Computation for parameter inference in state-space models. https://doi.org/10.1007/s00180-017-0770-y

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