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Coupling stochastic EM and approximate Bayesian computation for parameter inference in state-space models

Author

Listed:
  • Umberto Picchini

    (Lund University)

  • Adeline Samson

    (Universite Grenoble Alpes, LJK
    CNRS, LJK)

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 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.

Suggested Citation

  • Umberto Picchini & Adeline Samson, 2018. "Coupling stochastic EM and approximate Bayesian computation for parameter inference in state-space models," Computational Statistics, Springer, vol. 33(1), pages 179-212, March.
    • Handle: RePEc:spr:compst:v:33:y:2018:i:1:d:10.1007_s00180-017-0770-y
    DOI: 10.1007/s00180-017-0770-y
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    References listed on IDEAS

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    1. Herbst, Edward & Schorfheide, Frank, 2019. "Tempered particle filtering," Journal of Econometrics, Elsevier, vol. 210(1), pages 26-44.
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    4. Gael M. Martin & Brendan P.M. McCabe & David T. Frazier & Worapree Maneesoonthorn & Christian P. Robert, 2016. "Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models," Monash Econometrics and Business Statistics Working Papers 09/16, Monash University, Department of Econometrics and Business Statistics.
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    Cited by:

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    2. Salima El Kolei & Fabien Navarro, 2022. "Contrast estimation for noisy observations of diffusion processes via closed-form density expansions," Statistical Inference for Stochastic Processes, Springer, vol. 25(2), pages 303-336, July.

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