Statistical Inference for Partially Observed Markov Processes via the R Package pomp

• Main Authors: Aaron A. King, Dao Nguyen, Edward L. Ionides
• Format: Article
• Language: English
• Published: Foundation for Open Access Statistics 2016-03-01
• Series: Journal of Statistical Software
• Subjects: Markov processes; hidden Markov model; state space model; stochastic dynamical system; maximum likelihood; plug-and-play; time series; mechanistic model; sequential Monte Carlo; R
• Online Access: https://www.jstatsoft.org/index.php/jss/article/view/2614

Partially observed Markov process (POMP) models, also known as hidden Markov models or state space models, are ubiquitous tools for time series analysis. The R package pomp provides a very flexible framework for Monte Carlo statistical investigations using nonlinear, non-Gaussian POMP models. A range of modern statistical methods for POMP models have been implemented in this framework including sequential Monte Carlo, iterated filtering, particle Markov chain Monte Carlo, approximate Bayesian computation, maximum synthetic likelihood estimation, nonlinear forecasting, and trajectory matching. In this paper, we demonstrate the application of these methodologies using some simple toy problems. We also illustrate the specification of more complex POMP models, using a nonlinear epidemiological model with a discrete population, seasonality, and extra-demographic stochasticity. We discuss the specification of user-defined models and the development of additional methods within the programming environment provided by pomp.