Increasingly, for many application areas, it is becoming important to include elements of nonlinearity and non-Gaussianity in order to model accurately the underlying dynamics of a physical system. Moreover, it is typically crucial to process data on-line as it arrives, both from the point of view of storage costs as well as for rapid adaptation to changing signal characteristics. In this paper, we review both optimal and suboptimal Bayesian algorithms for nonlinear/non-Gaussian tracking problems, with a focus on particle filters. Particle filters are sequential Monte Carlo methods based on point mass (or “particle”) representations of probability densities, which can be applied to any state-space model and which generalize the traditional Kalman filtering methods. Several variants of the particle filter such as SIR, ASIR, and RPF are introduced within a generic framework of the sequential importance sampling (SIS) algorithm. These are discussed and compared with the standard EKF through an illustrative example.

In this article, we present an overview of methods for sequential simulation from posterior distributions. These methods are of particular interest in Bayesian filtering for discrete time dynamic models that are typically nonlinear and non-Gaussian. A general importance sampling framework is developed that unifies many of the methods which have been proposed over the last few decades in several different scientific disciplines. Novel extensions to the existing methods are also proposed. We show in particular how to incorporate local linearisation methods similar to those which have previously been employed in the determin-istic filtering literature; these lead to very effective importance distributions. Furthermore we describe a method which uses Rao-Blackwellisation in order to take advantage of the analytic structure present in some important classes of state-space models. In a final section we develop algorithms for prediction, smoothing and evaluation of the likelihood in dynamic models.

Jump Markov linear systems (JMLS) are linear systems whose parameters evolve with time according to a finite state Markov chain. In this paper, our aim is to recursively compute optimal state estimates for this class of systems. We present efficient simulation-based algorithms called particle filters to solve the optimal filtering problem as well as the optimal fixed-lag smoothing problem. Our algorithms combine sequential importance sampling, a selection scheme, and Markov chain Monte Carlo methods. They use several variance reduction methods to make the most of the statistical structure of JMLS.

This paper discusses and documents the algorithms of SsfPack 2.2. SsfPack is a suite of C routines for carrying out computations involving the statistical analysis of univariate and multivariate models in state space form. The emphasis is on documenting the link we have made to the Ox computing environment. SsfPack allows for a full range of different state space forms: from a simple time-invariant model to a complicated time-varying model. Functions can be used which put standard models such as ARMA and cubic spline models in state space form. Basic functions are available for ltering, moment smoothing and simulation smoothing. Ready-to-use functions are provided for standard tasks such as likelihood evaluation, forecasting and signal extraction. We show that SsfPack can be easily used for implementing, tting and analysing Gaussian models relevant to many areas of econometrics and statistics. Some Gaussian illustrations are given.

We develop methods for performing smoothing computations in general state-space models. The methods rely on a particle representation of the filtering distributions, and their evolution through time using sequential importance sampling and resampling ideas. In particular, novel techniques are presented for generation of sample realizations of historical state sequences. This is carried out in a forwardfiltering backward-smoothing procedure which can be viewed as the non-linear, non-Gaussian counterpart of standard Kalman filter-based simulation smoothers in the linear Gaussian case. Convergence in the mean-squared error sense of the smoothed trajectories is proved, showing the validity of our proposed method. The methods are tested in a substantial application for the processing of speech signals represented by a time-varying autoregression and parameterised in terms of timevarying partial correlation coe#cients, comparing the results of our algorithm with those from a simple smoother based upon the filtered trajectories.

Structured additive regression models are perhaps the most commonly used class of models in statistical applications. It includes, among others, (generalised) linear models, (generalised) additive models, smoothing-spline models, state-space models, semiparametric regression, spatial and spatio-temporal models, log-Gaussian Cox-processes, geostatistical and geoadditive models. In this paper we consider approximate Bayesian inference in a popular subset of structured additive regression models, latent Gaussian models, where the latent field is Gaussian, controlled by a few hyperparameters and with non-Gaussian response variables. The posterior marginals are not available in closed form due to the non-Gaussian response variables. For such models, Markov chain Monte Carlo methods can be implemented, but they are not without problems, both in terms of convergence and computational time. In some practical applications, the extent of these problems is such that Markov chain Monte Carlo is simply not an appropriate tool for routine analysis. We show that, by using an integrated nested Laplace approximation and its simplified version, we can directly compute very accurate approximations to the posterior marginals. The main benefit of these approximations

Multiple factors simultaneously affect the spiking activity of individual neurons. Determining the effects and relative importance of these factors is a challenging problem in neurophysiology. We propose a statistical framework based on the point process likelihood function to relate a neuron’s spiking probability to three typical covariates: the neuron’s own spiking history, concurrent ensemble activity and extrinsic covariates such as stimuli or behavior. The framework uses parametric models of the conditional intensity function to define a neuron’s spiking probability in terms of the covariates. The discrete time likelihood function for point processes is used to carry out model fitting and model analysis. We show that, by modeling the logarithm of the conditional intensity function as a linear combination of functions of the covariates, the discrete time point process likelihood function is readily analyzed in the generalized linear model (GLM) framework. We illustrate our approach for both GLM and non-GLM likelihood functions using simulated data and multivariate single unit

State space models is a very general class of time series models capable of modeling dependent observations in a natural and interpretable way. Inference in such models have been studied by Bickel et al., who consider hidden Markov models, which are a special kind of state space models, and prove that the maximum likelihood estimator is asymptotically normal under mild regularity conditions. In this paper we generalize the results of Bickel et al. to state space models, where the latent process is a continuous state Markov chain satisfying regularity conditions, which are fulfilled if the latent process takes values in a compact space. AMS 1991 subject classification. Primary 62F12; secondary 62M09. Keywords and phrases. State space models, asymptotic normality, maximum likelihood estimation. 1. Introduction. A state space model is a discrete time model for dependent observations fY k g, where the dependence is modelled via an unobserved Markov process fX k g such that, conditionall...

Neural spike train decoding algorithms and techniques to compute Shannon mutual information are important methods for analyzing how neural systems represent biological signals.Decoding algorithms are also one of several strategies being used to design controls for brain-machine interfaces. Developing optimal strategies to desig n decoding algorithms and compute mutual information are therefore important problems in computational neuroscience. We present a general recursive Žlter decoding algorithm based on a point process model of individual neuron spiking activity and a linear stochastic state-space model of the biological signal. We derive from the algorithm new instantaneous estimates of the entropy, entropy rate, and the mutual information between the signal and the ensemble spiking activity. We assess the accuracy of the algorithm by computing, along with the decoding error, the true coverage probability of the approximate 0.95 conŽdence regions for the individual signal estimates. We illustrate the new algorithm by reanalyzing the position and ensemble neural spiking activity of CA1 hippocampal neurons from two rats foraging in an open circular environment. We compare the performance of this algorithm with a linear Žlter constructed by the widely used reverse correlation method. The median decoding error for Animal 1 (2) during 10 minutes of open foraging was 5.9 (5.5) cm, the median entropy was 6.9 (7.0) bits, the median information was 9.4 (9.4) bits, and the true coverage probability for 0.95 conŽdence regions was 0.67 (0.75) using 34 (32) neurons. These Žndings improve signiŽcantly on our previous results and suggest an integrated approach to dynamically reading neural codes, measuring their properties, and quantifying the accuracy with which encoded information is extracted.

Partial non-Gaussian state-space models include many models of inter- est while keeping a convenient analytical structure. In this paper, two problems related to partial non-Gaussian models are addressed. First, we present an efficient sequential Monte Carlo method to perform Bayesian inference. Second, we derive simple recursions to conpute posterior Cramr~Rao bounds (PCRB). An application to jump Markov linear systems (JMLS) is given.