Time-series filtering for replicated observations via a kernel approximate Bayesian computation

Takanori Hasegawa, Kaname Kojima, Yosuke Kawai, Masao Nagasaki

Research output: Contribution to journalArticlepeer-review

Abstract

In time-series analysis, state-space models (SSMs) have been widely used to estimate the conditional probability distributions of hidden variables and parameter values, as well as to understand structures that can generate the data. For example, the Kalman filter is used to analytically calculate the conditional probability distribution on linear SSMs in terms of minimizing the variance, and several extensions, such as the unscented Kalman filter and particle filter, have been applied to calculate the approximate distribution on nonlinear SSMs. Recently, the approximate Bayesian computation (ABC) has been applied to such time-series filtering to handle intractable likelihoods; however, it remains problematic with respect to consistently achieving a reduction of the estimation bias, evaluating the validity of the models, and dealing with replicated observations. To address these problems, in this paper, we propose a novel method combined with the kernel ABC to perform filtering, parameter estimation, and the model evaluation in SSMs. Simulation studies show that the proposed method produces inference that is comparable to other ABC methods, with the advantage of not requiring a careful calibration of the ABC threshold. In addition, we evaluate the performance of the model-selection capability using true and competitive models on synthetic data from nonlinear SSMs. Finally, we apply the proposed method to real data in rat circadian oscillations, and demonstrated the usefulness in practical situations.

Original languageEnglish
Article number8478007
Pages (from-to)6148-6161
Number of pages14
JournalIEEE Transactions on Signal Processing
Volume66
Issue number23
DOIs
Publication statusPublished - 2018 Dec 1

Keywords

  • Nonlinear state-space model
  • approximate Bayesian computation
  • likelihood-free inference
  • time-series analysis

ASJC Scopus subject areas

  • Signal Processing
  • Electrical and Electronic Engineering

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