title: Adaptive Mixture Modelling Metropolis Methods for Bayesian Analysis of Non-linear State-Space Models.
abstract: We describe a strategy for Markov chain Monte Carlo analysis of non-linear, non-Gaussian state-space models involving batch analysis for inference on dynamic, latent state variables and fixed model parameters. The key innovation is a Metropolis-Hastings method for the time series of state variables based on sequential approximation of filtering and smoothing densities using normal mixtures. These mixtures are propagated through the non-linearities using an accurate, local mixture approximation method, and we use a regenerating procedure to deal with potential degeneracy of mixture components. This provides accurate, direct approximations to sequential filtering and retrospective smoothing distributions, and hence a useful construction of global Metropolis proposal distributions for simulation of posteriors for the set of states. This analysis is embedded within a Gibbs sampler to include uncertain fixed parameters. We give an example motivated by an application in systems biology. Supplemental materials provide an example based on a stochastic volatility model as well as MATLAB code.
authors.affiliation: Department of Statistical Science, Duke University, Durham, NC 27708-0251.
authors.forename: Jarad
authors.initials: J
authors.lastname: Niemi
authors.forename: Mike
authors.initials: M
authors.lastname: West