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Exact filtering for partially observed continuous time models
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DOI：10.1111/j.1467-9868.2004.05561.x.png)
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摘要
En 中文
The forward-backward algorithm is an exact filtering algorithm which can efficiently calculate likelihoods, and which can be used to simulate from posterior distributions. Using a simple result which relates gamma random variables with different rates, wig show how the forward-backward algorithm can be used to calculate the distribution of a sum of gamma random variables, and to simulate from their joint distribution given their sum. One application is to calculating the density of the time of a specific event in a Markov process, as this time is the sum of exponentially distributed interevent times. This enables us to apply the forward-backward algorithm to a range of new problems. We demonstrate our method on three problems: calculating likelihoods and simulating allele frequencies under a non-neutral population genetic model, analysing a stochastic epidemic model and simulating speciation times in phylogenetics.
Keyword:
HIDDEN MARKOV-MODELS
DNA-SEQUENCES
EVOLUTIONARY TREES
MAXIMUM-LIKELIHOOD
INFERENCE
SIMULATION
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期刊
J
IF:
3.6
论文数:
1.5K
被引数:
3.2W
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