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Latent Process (latent + process)
Selected AbstractsA latent Markov model for detecting patterns of criminal activityJOURNAL OF THE ROYAL STATISTICAL SOCIETY: SERIES A (STATISTICS IN SOCIETY), Issue 1 2007Francesco Bartolucci Summary., The paper investigates the problem of determining patterns of criminal behaviour from official criminal histories, concentrating on the variety and type of offending convictions. The analysis is carried out on the basis of a multivariate latent Markov model which allows for discrete covariates affecting the initial and the transition probabilities of the latent process. We also show some simplifications which reduce the number of parameters substantially; we include a Rasch-like parameterization of the conditional distribution of the response variables given the latent process and a constraint of partial homogeneity of the latent Markov chain. For the maximum likelihood estimation of the model we outline an EM algorithm based on recursions known in the hidden Markov literature, which make the estimation feasible also when the number of time occasions is large. Through this model, we analyse the conviction histories of a cohort of offenders who were born in England and Wales in 1953. The final model identifies five latent classes and specifies common transition probabilities for males and females between 5-year age periods, but with different initial probabilities. [source] Likelihood inference for a class of latent Markov models under linear hypotheses on the transition probabilitiesJOURNAL OF THE ROYAL STATISTICAL SOCIETY: SERIES B (STATISTICAL METHODOLOGY), Issue 2 2006Francesco Bartolucci Summary., For a class of latent Markov models for discrete variables having a longitudinal structure, we introduce an approach for formulating and testing linear hypotheses on the transition probabilities of the latent process. For the maximum likelihood estimation of a latent Markov model under hypotheses of this type, we outline an EM algorithm that is based on well-known recursions in the hidden Markov literature. We also show that, under certain assumptions, the asymptotic null distribution of the likelihood ratio statistic for testing a linear hypothesis on the transition probabilities of a latent Markov model, against a less stringent linear hypothesis on the transition probabilities of the same model, is of type. As a particular case, we derive the asymptotic distribution of the likelihood ratio statistic between a latent class model and its latent Markov version, which may be used to test the hypothesis of absence of transition between latent states. The approach is illustrated through a series of simulations and two applications, the first of which is based on educational testing data that have been collected within the National Assessment of Educational Progress 1996, and the second on data, concerning the use of marijuana, which have been collected within the National Youth Survey 1976,1980. [source] Nonparametric Estimation and Testing in Panels of Intercorrelated Time SeriesJOURNAL OF TIME SERIES ANALYSIS, Issue 6 2004Vidar Hjellvik Abstract., We consider nonparametric estimation and testing of linearity in a panel of intercorrelated time series. We place the emphasis on the situation where there are many time series in the panel but few observations for each of the series. The intercorrelation is described by a latent process, and a conditioning argument involving this process plays an important role in deriving the asymptotic theory. To be accurate the asymptotic distribution of the test functional of linearity requires a very large number of observations, and bootstrapping gives much better finite sample results. A number of simulation experiments and an illustration on a real data set are included. [source] First-Order Autoregressive Processes with Heterogeneous PersistenceJOURNAL OF TIME SERIES ANALYSIS, Issue 3 2003JOANN JASIAK Abstract. We propose a semi-nonparametric method of identification and estimation for Gaussian autoregressive processes with stochastic autoregressive coefficients. The autoregressive coefficient is considered as a latent process with either a moving average or regime switching representation. We develop a consistent estimator of the distribution of the autoregressive coefficient based on nonlinear canonical decomposition of the observed process. The approach is illustrated by simulations. [source] Bayesian analysis of switching ARCH modelsJOURNAL OF TIME SERIES ANALYSIS, Issue 4 2002SYLVIA KAUFMANN We consider a time series model with autoregressive conditional heteroscedasticity that is subject to changes in regime. The regimes evolve according to a multistate latent Markov switching process with unknown transition probabilities, and it is the constant in the variance process of the innovations that is subject to regime shifts. The joint estimation of the latent process and all model parameters is performed within a Bayesian framework using the method of Markov chain Monte Carlo (MCMC) simulation. We perform model selection with respect to the number of states and the number of autoregressive parameters in the variance process using Bayes factors and model likelihoods. To this aim, the model likelihood is estimated by the method of bridge sampling. The usefulness of the sampler is demonstrated by applying it to the data set previously used by Hamilton and Susmel (1994) who investigated models with switching autoregressive conditional heteroscedasticity using maximum likelihood methods. The paper concludes with some issues related to maximum likelihood methods, to classical model selection, and to potential straightforward extensions of the model presented here. [source] Models for Bounded Systems with Continuous DynamicsBIOMETRICS, Issue 3 2009Amanda R. Cangelosi Summary Models for natural nonlinear processes, such as population dynamics, have been given much attention in applied mathematics. For example, species competition has been extensively modeled by differential equations. Often, the scientist has preferred to model the underlying dynamical processes (i.e., theoretical mechanisms) in continuous time. It is of both scientific and mathematical interest to implement such models in a statistical framework to quantify uncertainty associated with the models in the presence of observations. That is, given discrete observations arising from the underlying continuous process, the unobserved process can be formally described while accounting for multiple sources of uncertainty (e.g., measurement error, model choice, and inherent stochasticity of process parameters). In addition to continuity, natural processes are often bounded; specifically, they tend to have nonnegative support. Various techniques have been implemented to accommodate nonnegative processes, but such techniques are often limited or overly compromising. This article offers an alternative to common differential modeling practices by using a bias-corrected truncated normal distribution to model the observations and latent process, both having bounded support. Parameters of an underlying continuous process are characterized in a Bayesian hierarchical context, utilizing a fourth-order Runge,Kutta approximation. [source] Bayesian Inference for Stochastic Kinetic Models Using a Diffusion ApproximationBIOMETRICS, Issue 3 2005A. Golightly Summary This article is concerned with the Bayesian estimation of stochastic rate constants in the context of dynamic models of intracellular processes. The underlying discrete stochastic kinetic model is replaced by a diffusion approximation (or stochastic differential equation approach) where a white noise term models stochastic behavior and the model is identified using equispaced time course data. The estimation framework involves the introduction of m, 1 latent data points between every pair of observations. MCMC methods are then used to sample the posterior distribution of the latent process and the model parameters. The methodology is applied to the estimation of parameters in a prokaryotic autoregulatory gene network. [source] Model-based measurement of latent risk in time series with applicationsJOURNAL OF THE ROYAL STATISTICAL SOCIETY: SERIES A (STATISTICS IN SOCIETY), Issue 1 2008Frits Bijleveld Summary., Risk is at the centre of many policy decisions in companies, governments and other institutions. The risk of road fatalities concerns local governments in planning countermeasures, the risk and severity of counterparty default concerns bank risk managers daily and the risk of infection has actuarial and epidemiological consequences. However, risk cannot be observed directly and it usually varies over time. We introduce a general multivariate time series model for the analysis of risk based on latent processes for the exposure to an event, the risk of that event occurring and the severity of the event. Linear state space methods can be used for the statistical treatment of the model. The new framework is illustrated for time series of insurance claims, credit card purchases and road safety. It is shown that the general methodology can be effectively used in the assessment of risk. [source] | ||||||||||