Journal
JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
Volume 66, Issue -, Pages 771-789Publisher
WILEY
DOI: 10.1111/j.1467-9868.2004.05561.x
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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.
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