Journal
JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS
Volume 32, Issue 1, Pages 36-48Publisher
TAYLOR & FRANCIS INC
DOI: 10.1080/10618600.2022.2093886
Keywords
Coffin state; Continuous-time Markov chain; Correlated pseudo-marginal; MCMC
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We present new methodologies for Bayesian inference on the rate parameters of a discretely observed continuous-time Markov jump process with a countably infinite statespace. The methods, called MESA and nMESA, extend the Markov chain Monte Carlo statespace to perform exact Bayesian inference on the infinite statespace. Numerical experiments show significant improvements over the traditional particle MCMC method.
We present new methodologies for Bayesian inference on the rate parameters of a discretely observed continuous-time Markov jump process with a countably infinite statespace. The usual method of choice for inference, particle Markov chain Monte Carlo (particle MCMC), struggles when the observation noise is small. We consider the most challenging regime of exact observations and provide two new methodologies for inference in this case: the minimal extended statespace algorithm (MESA) and the nearly minimal extended statespace algorithm (nMESA). By extending the Markov chain Monte Carlo statespace, both MESA and nMESA use the exponentiation of finite rate matrices to perform exact Bayesian inference on the Markov jump process even though its statespace is countably infinite. Numerical experiments show improvements over particle MCMC of between a factor of three and several orders of magnitude. for this article are available online.
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