On the Use of Particle Markov Chain Monte Carlo in Parameter Estimation of Space-Time Interacting Discs

Markéta Zikmundová (), Kateřina Staňková Helisová () and Viktor Beneš ()
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Markéta Zikmundová: Charles University in Prague
Kateřina Staňková Helisová: Czech Technical University in Prague
Viktor Beneš: Charles University in Prague

Methodology and Computing in Applied Probability, 2014, vol. 16, issue 2, 451-463

Abstract: Abstract A space-time random set is defined and methods of its parameters estimation are investigated. The evolution in discrete time is described by a state-space model. The observed output is a planar union of interacting discs given by a probability density with respect to a reference Poisson process of discs. The state vector is to be estimated together with auxiliary parameters of transitions caused by a random walk. Three methods of parameters estimation are involved, first of which is the maximum likelihood estimation (MLE) for individual outputs at fixed times. In the space-time model the state vector can be estimated by the particle filter (PF), where MLE serves to the estimation of auxiliary parameters. In the present paper the aim is to compare MLE and PF with particle Markov chain Monte Carlo (PMCMC). From the group of PMCMC methods we use specially the particle marginal Metropolis-Hastings (PMMH) algorithm which updates simultaneously the state vector and the auxiliary parameters. A simulation study is presented in which all estimators are compared by means of the integrated mean square error. New data are then simulated repeatedly from the model with parameters estimated by PMMH and the fit with the original model is quantified by means of the spherical contact distribution function.

Keywords: Model with interacting discs; Particle Metropolis-Hastings algorithm; Spherical contact distribution function; 60D05; 60G55 (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s11009-013-9367-2

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