LibBi

PeriodicDriftBridge package

Version 1.0.0 by Lawrence Murray

Periodic drift process for diffusion bridge sampling.

Synopsis

./init.sh

This simulates a number of data sets for testing and fits the bridge weight function. GNU Octave is required. Running it is optional, as a number of simulated data sets are already included.

./run.sh

This runs a particle filter as well as samples from the posterior distribution for a fixed data set of four observations given in Lin, Chen & Mykland (2010).

./test.sh

This runs tests on the bootstrap and bridge particle filters on the simulated data sets. Alternatively, these tests may be run as an array job on a cluster:

qsub -t 0-15 qsub_test_bridge.sh
qsub -t 0-15 qsub_test_bootstrap.sh
qsub -t 0-15 qsub_test_exact.sh

The last line computes normalising constants to be used as “exact” values when computing the MSE metric for comparison plots.

Finally, results may be plot with:

octave --path oct/ --eval "plot_and_print"

GNU Octave and OctBi are required.

Note that, as of version 1.1.0 of LibBi, running any of these gives the warnings:

Warning (line 29): 'obs' variables should not appear on the right side of actions in the 'transition' block.
Warning (line 42): 'obs' variables should not appear on the right side of actions in the 'lookahead_transition' block.

This is normal.

Description

This package implements the periodic drift diffusion process introduced in Beskos et al. (2006) and further studied in Lin, Chen & Mykland (2010). The form of the process model is the Ito stochastic differential equation:

The task is to simulate diffusion bridges between the observed values. It was used as a test case in Del Moral & Murray (2014). The package may be used to reproduce the results in that paper.

References

Beskos, A.; Papaspiliopoulos, O.; Roberts, G. & Fearnhead, P. Exact and computationally efficient likelihood-based estimation for discretely observed diffusion processes. Journal of the Royal Statistical Society Series B, 2006, 68, 333-382.

Del Moral, P. & Murray, L. M. Sequential Monte Carlo with Highly Informative Observations, 2014. [arXiv]

Lin, M.; Chen, R. & Mykland, P. On Generating Monte Carlo Samples of Continuous Diffusion Bridges. Journal of the American Statistical Association, 2010, 105, 820-838.