scholarly journals Drift Estimation of Multiscale Diffusions Based on Filtered Data

Author(s):  
Assyr Abdulle ◽  
Giacomo Garegnani ◽  
Grigorios A. Pavliotis ◽  
Andrew M. Stuart ◽  
Andrea Zanoni

AbstractWe study the problem of drift estimation for two-scale continuous time series. We set ourselves in the framework of overdamped Langevin equations, for which a single-scale surrogate homogenized equation exists. In this setting, estimating the drift coefficient of the homogenized equation requires pre-processing of the data, often in the form of subsampling; this is because the two-scale equation and the homogenized single-scale equation are incompatible at small scales, generating mutually singular measures on the path space. We avoid subsampling and work instead with filtered data, found by application of an appropriate kernel function, and compute maximum likelihood estimators based on the filtered process. We show that the estimators we propose are asymptotically unbiased and demonstrate numerically the advantages of our method with respect to subsampling. Finally, we show how our filtered data methodology can be combined with Bayesian techniques and provide a full uncertainty quantification of the inference procedure.

Author(s):  
Martin Elff ◽  
Jan Paul Heisig ◽  
Merlin Schaeffer ◽  
Susumu Shikano

Comparative political science has long worried about the performance of multilevel models when the number of upper-level units is small. Exacerbating these concerns, an influential Monte Carlo study by Stegmueller (2013) suggests that frequentist methods yield biased estimates and severely anti-conservative inference with small upper-level samples. Stegmueller recommends Bayesian techniques, which he claims to be superior in terms of both bias and inferential accuracy. In this paper, we reassess and refute these results. First, we formally prove that frequentist maximum likelihood estimators of coefficients are unbiased. The apparent bias found by Stegmueller is simply a manifestation of Monte Carlo Error. Second, we show how inferential problems can be overcome by using restricted maximum likelihood estimators for variance parameters and a t-distribution with appropriate degrees of freedom for statistical inference. Thus, accurate multilevel analysis is possible without turning to Bayesian methods, even if the number of upper-level units is small.


2018 ◽  
Author(s):  
Jordan Douglas ◽  
Richard Kingston ◽  
Alexei J. Drummond

AbstractTranscription elongation can be modelled as a three step process, involving polymerase translocation, NTP binding, and nucleotide incorporation into the nascent mRNA. This cycle of events can be simulated at the single-molecule level as a continuous-time Markov process using parameters derived from single-molecule experiments. Previously developed models differ in the way they are parameterised, and in their incorporation of partial equilibrium approximations.We have formulated a hierarchical network comprised of 12 sequence-dependent transcription elongation models. The simplest model has two parameters and assumes that both translocation and NTP binding can be modelled as equilibrium processes. The most complex model has six parameters makes no partial equilibrium assumptions. We systematically compared the ability of these models to explain published force-velocity data, using approximate Bayesian computation. This analysis was performed using data for the RNA polymerase complexes ofE. coli, S. cerevisiaeand Bacteriophage T7.Our analysis indicates that the polymerases differ significantly in their translocation rates, with the rates in T7 pol being fast compared toE. coliRNAP andS. cerevisiaepol II. Different models are applicable in different cases. We also show that all three RNA polymerases have an energetic preference for the posttranslocated state over the pretranslocated state. A Bayesian inference and model selection framework, like the one presented in this publication, should be routinely applicable to the interrogation of single-molecule datasets.Author summaryTranscription is a critical biological process which occurs in all living organisms. It involves copying the organism’s genetic material into messenger RNA (mRNA) which directs protein synthesis on the ribosome. Transcription is performed by RNA polymerases which have been extensively studied using both ensemble and single-molecule techniques (see reviews: [1, 2]). Single-molecule data provides unique insights into the molecular behaviour of RNA polymerases. Transcription at the single-molecule level can be computationally simulated as a continuous-time Markov process and the model outputs compared with experimental data. In this study we use Bayesian techniques to perform a systematic comparison of 12 stochastic models of transcriptional elongation. We demonstrate how equilibrium approximations can strengthen or weaken the model, and show how Bayesian techniques can identify necessary or unnecessary model parameters. We describe a framework to a) simulate, b) perform inference on, and c) compare models of transcription elongation.


Author(s):  
Sander Sein ◽  
Juhan Idnurm ◽  
José C. Matos

<p>In this paper the uncertainty in condition assessment based on most common assessment methods, visual inspection and non-destructive testing, is investigated. For decision-making the averaged or estimated value is suitable, but if the basis of a decision is only a subjective visual inspection, then it could lead to a wrong decision. The second most traditional assessment method is non-destructive testing (NDT), which can give reliable results, but the interpretation of measurement is needed. To investigate the errors in both evaluations, benchmarking tests were carried out in Estonia within two groups, a group of experienced inspectors and a group of unexperienced students, to show how the importance of experience affects results. To present the influence of assessment uncertainty to condition prediction curves based on continuous-time Markov model are calculated and for updating, Bayesian inference procedure is used.</p>


2021 ◽  
Vol 0 (0) ◽  
pp. 0
Author(s):  
Yong Ren ◽  
Qi Zhang

<p style='text-indent:20px;'>In this work, the issue of stabilization for a class of continuous-time hybrid stochastic systems with Lévy noise (HLSDEs, in short) is explored by using periodic intermittent control. As for the unstable HLSDEs, we design a periodic intermittent controller. The main idea is to compare the controlled system with a stabilized one with a periodic intermittent drift coefficient, which enables us to use the existing stability results on the HLSDEs. An illustrative example is proposed to show the feasibility of the obtained result.</p>


1981 ◽  
Vol 13 (3) ◽  
pp. 498-509 ◽  
Author(s):  
B. R. Bhat ◽  
S. R. Adke

This paper establishes the strong consistency of the maximum likelihood estimators of the parameters of discrete- and continuous-time Markov branching processes with immigration. The asymptotic distributions of the maximum likelihood estimators of the parameters of a Galton–Watson branching process with immigration are also obtained.


Author(s):  
Haipeng Xing ◽  
Yang Yu

Various sudden shifts in financial market conditions over the past decades have demonstrated the significant impact of market structural breaks on firms' credit behavior. To characterize such effect quantitatively, we develop a continuous-time modulated Markov model for firms' credit rating transitions with the possibility of market structural breaks. The model takes a semi-parametric multiplicative regression form, in which the effects of firms' observable covariates and macroeconomic variables are represented parametrically and nonparametrically, respectively, and the frailty effects of unobserved firm-specific and market-wide variables are incorporated via the integration form of the model assumption. We further develop a mixtured-estimating-equation approach to make inference on the effect of market variations, baseline intensities of all firms' credit rating transitions, and rating transition intensities for each individual firm. We then use the developed model and inference procedure to analyze the monthly credit rating of U.S. firms from January 1986 to December 2012, and study the effect of market structural breaks on firms' credit rating transitions.


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