Biased Online Parameter Inference for State-Space Models

Pierre Del Moral (), Ajay Jasra () and Yan Zhou ()
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Pierre Del Moral: Universite de Bordeaux I
Ajay Jasra: National University of Singapore
Yan Zhou: National University of Singapore

Methodology and Computing in Applied Probability, 2017, vol. 19, issue 3, 727-749

Abstract: Abstract We consider Bayesian online static parameter estimation for state-space models. This is a very important problem, but is very computationally challenging as the state-of-the art methods that are exact, often have a computational cost that grows with the time parameter; perhaps the most successful algorithm is that of SM C2 (Chopin et al., J R Stat Soc B 75: 397–426 2013). We present a version of the SM C2 algorithm which has computational cost that does not grow with the time parameter. In addition, under assumptions, the algorithm is shown to provide consistent estimates of expectations w.r.t. the posterior. However, the cost to achieve this consistency can be exponential in the dimension of the parameter space; if this exponential cost is avoided, typically the algorithm is biased. The bias is investigated from a theoretical perspective and, under assumptions, we find that the bias does not accumulate as the time parameter grows. The algorithm is implemented on several Bayesian statistical models.

Keywords: State-space models; Bayesian inference; Sequential Monte Carlo; Primary 82C80, 60K35; Secondary 60F99, 62F15 (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1007/s11009-016-9511-x

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