Application of Iterated Filtering for Parametric Estimation of Instantaneous Variance in the Case of Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Processes

The article presents a method for parametric estimation of instantaneous variance in the case of non-Gaussian Ornstein-Uhlenbeck stochastic volatility process by means of the iterated filtering and realized variance estimator. The method is applied to realized variance of S&P500 index data. Empirical application is accompanied with simulation study to examine performance of the estimation technique.

Model selection and parameter estimation for dynamic epidemic models via iterated filtering: application to rotavirus in Germany

Summary Despite the wide application of dynamic models in infectious disease epidemiology, the particular modeling of variability in the different model components is often subjective rather than the result of a thorough model selection process. This is in part because inference for a stochastic transmission model can be difficult since the likelihood is often intractable due to partial observability. In this work, we address the question of adequate inclusion of variability by demonstrating a systematic approach for model selection and parameter inference for dynamic epidemic models. For this, we perform inference for six partially observed Markov process models, which assume the same underlying transmission dynamics, but differ with respect to the amount of variability they allow for. The inference framework for the stochastic transmission models is provided by iterated filtering methods, which are readily implemented in the R package pomp by King and others (2016, Statistical inference for partially observed Markov processes via the R package pomp. Journal of Statistical Software69, 1–43). We illustrate our approach on German rotavirus surveillance data from 2001 to 2008, discuss practical difficulties of the methods used and calculate a model based estimate for the basic reproduction number $R_0$ using these data.