Published by the Foundation for Open Access Statistics
Editors-in-chief: Bettina Grün, Torsten Hothorn, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Statistical Inference for Partially Observed Markov Processes via the R Package pomp | King | Journal of Statistical Software
Authors: Aaron A. King, Dao Nguyen, Edward L. Ionides
Title: Statistical Inference for Partially Observed Markov Processes via the R Package pomp
Abstract: Partially observed Markov process (POMP) models, also known as hidden Markov models or state space models, are ubiquitous tools for time series analysis. The R package pomp provides a very flexible framework for Monte Carlo statistical investigations using nonlinear, non-Gaussian POMP models. A range of modern statistical methods for POMP models have been implemented in this framework including sequential Monte Carlo, iterated filtering, particle Markov chain Monte Carlo, approximate Bayesian computation, maximum synthetic likelihood estimation, nonlinear forecasting, and trajectory matching. In this paper, we demonstrate the application of these methodologies using some simple toy problems. We also illustrate the specification of more complex POMP models, using a nonlinear epidemiological model with a discrete population, seasonality, and extra-demographic stochasticity. We discuss the specification of user-defined models and the development of additional methods within the programming environment provided by pomp.

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Paper: Statistical Inference for Partially Observed Markov Processes via the R Package pomp     Download PDF (Downloads: 410)
Supplements:
pomp_1.4.1.1.tar.gz: R source package Download (Downloads: 26; 300KB)
v69i12-replication.zip: Replication script, data, and output Download (Downloads: 33; 619KB)

DOI: 10.18637/jss.v069.i12

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