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

Takanori Hasegawa, Kaname Kojima, Yosuke Kawai, Masao Nagasaki

研究成果: Article査読

1 被引用数 (Scopus)

抄録

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.

本文言語English
論文番号8478007
ページ(範囲)6148-6161
ページ数14
ジャーナルIEEE Transactions on Signal Processing
66
23
DOI
出版ステータスPublished - 2018 12 1

ASJC Scopus subject areas

  • 信号処理
  • 電子工学および電気工学

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