Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Authors: Johan Dahlin, Thomas B. Schön
Title: Getting Started with Particle Metropolis-Hastings for Inference in Nonlinear Dynamical Models
Abstract: This tutorial provides a gentle introduction to the particle Metropolis-Hastings (PMH) algorithm for parameter inference in nonlinear state-space models together with a software implementation in the statistical programming language R. We employ a step-by-step approach to develop an implementation of the PMH algorithm (and the particle filter within) together with the reader. This final implementation is also available as the package pmhtutorial from the Comprehensive R Archive Network (CRAN) repository. Throughout the tutorial, we provide some intuition as to how the algorithm operates and discuss some solutions to problems that might occur in practice. To illustrate the use of PMH, we consider parameter inference in a linear Gaussian state-space model with synthetic data and a nonlinear stochastic volatility model with real-world data.

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Paper: Getting Started with Particle Metropolis-Hastings for Inference in Nonlinear Dynamical Models     Download PDF (Downloads: 152)
Supplements:
pmhtutorial_1.5.tar.gz: R source package Download (Downloads: 10; 15KB)
v88c02.R: R replication code Download (Downloads: 11; 14KB)

DOI: 10.18637/jss.v088.c02

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Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.