Abstract
We develop a Metropolis algorithm to perform Bayesian inference for models given by coupled stochastic differential equations. A key challenge in developing practical algorithms is the computation of the likelihood. We address this problem through the use of a fast method to track the probability density function of the stochastic differential equation. The method applies quadrature to the ChapmanāKolmogorov equation associated with a temporal discretization of the stochastic differential equation. The inference method can be adapted to scenarios in which we have multiple observations at one time, multiple time series, or observations with large and/or irregular temporal spacing. Computational tests show that the resulting Metropolis algorithm is capable of efficient inference for an electrical oscillator model.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
Archambeau, C., Cornford, D., Opper, M., Shawe-Taylor, J.: Gaussian process approximations of stochastic differential equations. J. Mach. Learn. Res. Workshop Conf. Proc. 1, 1ā16 (2007)
Archambeau, C., Opper, M., Shen, Y., Cornford, D., Shawe-Taylor, J.: Variational inference for diffusion processes. Adv. Neural Inf. Process. Syst. 20, 17ā24 (2007)
Bhat, H.S., Madushani, R.W.M.A.: Density tracking by quadrature for stochastic differential equations, arXiv:1610.09572 [stat.CO] (2016)
Fuchs, C.: Inference for Diffusion Processes: With Applications in Life Sciences. Springer, Berlin (2013)
Iacus, S.M.: Simulation and Inference for Stochastic Differential Equations: With R Examples. Springer Series in Statistics. Springer, New York (2009)
King, A.A., Nguyen, D., Ionides, E.L., et al.: Statistical inference for partially observed Markov processes via the R package pomp. J. Stat. Softw. 69, 1ā43 (2016)
Picchini, U.: Inference for SDE models via approximate Bayesian computation. J. Comput. Graph. Stat. 23(4), 1080ā1100 (2014)
Ruttor, A., Batz, P., Opper, M.: Approximate Gaussian process inference for the drift function in stochastic differential equations. Adv. Neural Inf. Process. Syst. 26, 2040ā2048 (2013)
SĆørensen, H.: Parametric inference for diffusion processes observed at discrete points in time: a survey. Int. Stat. Rev. 72(3), 337ā354 (2004)
Vrettas, M.D., Opper, M., Cornford, D.: Variational mean-field algorithm for efficient inference in large systems of stochastic differential equations. Phys. Rev. E 91(012148) (2015)
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
Ā© 2017 Springer International Publishing AG
About this paper
Cite this paper
Bhat, H.S., Madushani, R.W.M.A., Rawat, S. (2017). Bayesian Inference of Stochastic Pursuit Models from Basketball Tracking Data. In: Argiento, R., Lanzarone, E., Antoniano Villalobos, I., Mattei, A. (eds) Bayesian Statistics in Action. BAYSM 2016. Springer Proceedings in Mathematics & Statistics, vol 194. Springer, Cham. https://doi.org/10.1007/978-3-319-54084-9_12
Download citation
DOI: https://doi.org/10.1007/978-3-319-54084-9_12
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-54083-2
Online ISBN: 978-3-319-54084-9
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)