arXiv subjects

Loukia Meligkotsidou

Publications and source records attributed to Loukia Meligkotsidou.

3 recordsLinked to original sources

arXiv2026

Multi-Parameter Estimation of Prevalence (MPEP): A Bayesian modelling approach to estimate the prevalence of opioid dependence

Estimating the number of the number of people from hidden and/or marginalised populations - such as people dependent on opioids or cocaine - is important to guide policy decisions and provision of harm reduction services. Methods such as capture-recapture are widely used, but rely on assumptions that are often violated and not feasible in specific applications. We describe a Bayesian modelling approach called Multi-Parameter Estimation of Prevalence (MPEP). The MPEP approach leverages routinely collected administrative data, starting from a large baseline cohort of individuals from the population of interest and linked events, to estimate the full size of the target population. When multiple event types are included, the approach enables checking of the consistency of evidence about prevalence from different event types. Additional evidence can be incorporated where inconsistencies are identified. In this article, we summarize the general framework of MPEP, with focus on the most recent version, with improved computational efficiency (implemented in STAN). We also explore several extensions to the model that help us understand the sensitivity of the results to modelling assumptions or identify potential sources of bias. We demonstrate the MPEP approach through a case study estimating the prevalence of opioid dependence in Scotland each year from 2014 to 2022.

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arXiv2019

Forecasting under model uncertainty:Non-homogeneous hidden Markov models with Polya-Gamma data augmentation

We consider two-state Non-Homogeneous Hidden Markov Models (NHHMMs) for forecasting univariate time series. Given a set of predictors, the time series are modeled via predictive regressions with state dependent coefficients and time-varying transition probabilities that depend on the predictors via a logistic function. In a hidden Markov setting, inference for logistic regression coefficients becomes complicated and in some cases impossible due to convergence issues. In this paper, we aim to address this problem using a new latent variable scheme that utilizes the Pólya-Gamma class of distributions. We allow for model uncertainty regarding the predictors that affect the series both linearly -- in the mean -- and non-linearly -- in the transition matrix. Predictor selection and inference on the model parameters are based on a MCMC scheme with reversible jump steps. Single-step and multiple-steps-ahead predictions are obtained by the most probable model, median probability model or a Bayesian Model Averaging approach. Using simulation experiments, we illustrate the performance of our algorithm in various setups, in terms of mixing properties, model selection and predictive ability. An empirical study on realized volatility data shows that our methodology gives improved forecasts compared to benchmark models.

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arXiv2014

Augmentation Schemes for Particle MCMC

Particle MCMC involves using a particle filter within an MCMC algorithm. For inference of a model which involves an unobserved stochastic process, the standard implementation uses the particle filter to propose new values for the stochastic process, and MCMC moves to propose new values for the parameters. We show how particle MCMC can be generalised beyond this. Our key idea is to introduce new latent variables. We then use the MCMC moves to update the latent variables, and the particle filter to propose new values for the parameters and stochastic process given the latent variables. A generic way of defining these latent variables is to model them as pseudo-observations of the parameters or of the stochastic process. By choosing the amount of information these latent variables have about the parameters and the stochastic process we can often improve the mixing of the particle MCMC algorithm by trading off the Monte Carlo error of the particle filter and the mixing of the MCMC moves. We show that using pseudo-observations within particle MCMC can improve its efficiency in certain scenarios: dealing with initialisation problems of the particle filter; speeding up the mixing of particle Gibbs when there is strong dependence between the parameters and the stochastic process; and enabling further MCMC steps to be used within the particle filter.

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