Particle filtering methods are well developed for continuous state-space models. When dealing with discrete spaces on bounded domains, particle filtering methods can still be applied to sample from and marginalise over the unknown hidden states. Nevertheless, problems such as particle degradation can arise in this context and be even more severe than they are within the continuous-state domain: proposed particles can easily be incompatible with the data and the discrete system could often result in all particles having weights of zero. However, if the boundaries of the discrete hidden space are known, then these could be used to prevent particle collapse. In this paper we introduce the Lifebelt Particle Filter (LBPF), a novel method for robust likelihood estimation when low-valued count data arise. The LBPF combines a standard particle filter with one (or more) \textit{lifebelt particles} which, by construction, will tend not to be incompatible with the data. A mixture of resampled and non-resampled particles allows for the preservation of the lifebelt particle, which, together with the remaining particle swarm, provides samples from the filtering distribution, and can be used to generate estimates of the likelihood. The LBPF can be used within a pseudo-marginal scheme to draw inference on static parameters, $ \boldsymbol{\theta} $, governing a discrete state-space model with low-valued counts. We present here the applied case estimating a parameter governing probabilities and timings of deaths and recoveries of hospitalised patients during an epidemic.
翻译:用于连续状态空间模型的粒子过滤方法非常完善。 当处理封闭域的离散空间时, 粒子过滤方法仍然可以适用于来自未知的隐藏状态的样本和边缘。 尽管如此, 粒子降解等问题可能在此背景下出现, 并且比在连续状态域中更为严重: 拟议的粒子可能很容易与数据不兼容, 而离散系统往往可能导致所有粒子的重量为零。 但是, 如果已知离散隐藏空间的界限, 那么这些可以用来防止粒子崩溃。 在本文中, 我们引入了“ 生命带粒子过滤器 ” (LBPF), 这是一种在出现低值计数数据时进行可靠概率估算的新型参数。 但是, LBPF 将标准粒子过滤器与一个( ) 或更多的( text) { 生命带粒子 } 合并起来, 而离散系统往往不会与数据不相容。 重新标定的粒子混合物可以用来保存生命带粒子。 与其余的颗粒子一道, 提供过滤器粒子的样本样本, 在过滤分布分布中提供样本, 和正值的精确的精确的精确度分析, 可以用来估算 。