Sequential Monte Carlo Methods in Random Intercept Models for Longitudinal Data

  • Danilo AlvaresEmail author
  • Carmen Armero
  • Anabel Forte
  • Nicolas Chopin
Conference paper
Part of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 194)


Longitudinal modelling is common in the field of Biostatistical research. In some studies, it becomes mandatory to update posterior distributions based on new data in order to perform inferential process on-line. In such situations, the use of posterior distribution as the prior distribution in the new application of the Bayes’ theorem is sensible. However, the analytic form of the posterior distribution is not always available and we only have an approximated sample of it, thus making the process “not-so-easy”. Equivalent inferences could be obtained through a Bayesian inferential process based on the set that integrates the old and new data. Nevertheless, this is not always a real alternative, because it may be computationally very costly in terms of both time and resources. This work uses the dynamic characteristics of sequential Monte Carlo methods for “static” setups in the framework of longitudinal modelling scenarios. We used this methodology in real data through a random intercept model.


Bayesian analysis IBIS algorithm Marginal likelihood Particle filter 



Alvares is partially supported by the research grants Coordination for the Improvement of Higher Level Personnel (BEX: 0047/13-9), Brazil. Armero and Forte are partially funded by MTM2016-77501-P from the Spanish Ministry of Economy and Competitiveness and ACOMP/2015/202 from the Generalitat Valenciana. Chopin is partially funded by Labex ECODEC ANR-11-LABEX-0047 grant from the Agence Nationale de la Recherche.


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Copyright information

© Springer International Publishing AG 2017

Authors and Affiliations

  • Danilo Alvares
    • 1
    Email author
  • Carmen Armero
    • 1
  • Anabel Forte
    • 1
  • Nicolas Chopin
    • 2
  1. 1.Universitat de València - Calle Dr. Moliner 50BurjassotSpain
  2. 2.CREST-ENSAE and HEC ParisMalakoffFrance

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