Maximum approximate likelihood estimation of general continuous-time state-space models

被引:1
|
作者
Mews, Sina [1 ]
Langrock, Roland [1 ]
Oetting, Marius [1 ]
Yaqine, Houda [1 ]
Reinecke, Jost [2 ]
机构
[1] Bielefeld Univ, Dept Business Adm & Econ, Univ Str 25, D-33615 Bielefeld, Germany
[2] Bielefeld Univ, Fac Sociol, Bielefeld, Germany
关键词
hidden Markov model (HMM); Irregular time intervals; non-Gaussian and non-linear processes; Ornstein-Uhlenbeck process; sequential data; HIDDEN MARKOV-MODELS; STOCHASTIC VOLATILITY; ANIMAL MOVEMENT; BEHAVIOR; CLASSIFICATION; RECAPTURE; INFERENCE;
D O I
10.1177/1471082X211065785
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
Continuous-time state-space models (SSMs) are flexible tools for analysing irregularly sampled sequential observations that are driven by an underlying state process. Corresponding applications typically involve restrictive assumptions concerning linearity and Gaussianity to facilitate inference on the model parameters via the Kalman filter. In this contribution, we provide a general continuous-time SSM framework, allowing both the observation and the state process to be non-linear and non-Gaussian. Statistical inference is carried out by maximum approximate likelihood estimation, where multiple numerical integration within the likelihood evaluation is performed via a fine discretization of the state process. The corresponding reframing of the SSM as a continuous-time hidden Markov model, with structured state transitions, enables us to apply the associated efficient algorithms for parameter estimation and state decoding. We illustrate the modelling approach in a case study using data from a longitudinal study on delinquent behaviour of adolescents in Germany, revealing temporal persistence in the deviation of an individual's delinquency level from the population mean.
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页码:9 / 28
页数:20
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