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Reversed particle filtering for hidden markov models

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Abstract

We present an approach to selecting the distributions in sampling-resampling which improves the efficiency of the weighted bootstrap. To complement the standard scheme of sampling from the prior and reweighting with the likelihood, we introduce a reversed scheme, which samples from the (normalized) likelihood and reweights with the prior. We begin with some motivating examples, before developing the relevant theory. We then apply the approach to the particle filtering of time series, including nonlinear and non-Gaussian Bayesian state-space models, a task that demands efficiency, given the repeated application of the weighted bootstrap. Through simulation studies on a normal dynamic linear model, Poisson hidden Markov model, and stochastic volatility model, we demonstrate the gains in efficiency obtained by the approach, involving the choice of the standard or reversed filter. In addition, for the stochastic volatility model, we provide three real-data examples, including a comparison with importance sampling methods that attempt to incorporate information about the data indirectly into the standard filtering scheme and an extension to multivariate models. We determine that the reversed filtering scheme offers an advantage over such auxiliary methods owing to its ability to incorporate information about the data directly into the sampling, an ability that further facilitates its performance in higher-dimensional settings.

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Acknowledgements

The authors would like to thank an anonymous referee for their constructive comments that inspired the multivariate extension.

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Authors and Affiliations

  1. Department of Statistics and Data Sciences, The University of Texas at Austin, Austin, Texas, USA

    Frank Rotiroti

  2. Department of Mathematics, The University of Texas at Austin, Austin, Texas, USA

    Stephen G. Walker

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  1. Frank Rotiroti
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  2. Stephen G. Walker
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Correspondence to Stephen G. Walker.

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Rotiroti, F., Walker, S.G. Reversed particle filtering for hidden markov models. Stat Comput 34, 111 (2024). https://doi.org/10.1007/s11222-024-10426-4

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