Aaron A. King, Ph.D.

Nelson G. Hairston Collegiate Professor of Ecology, Evolutionary Biology,
Complex Systems, and Mathematics, University of Michigan
External Professor, Santa Fe Institute
Fellow of the American Association for the Advancement of Science

Statistical inference for partially observed Markov processes via the R package pomp

A. A. King, D. Nguyen, and E. L. Ionides
Journal of Statistical Software 69(12): 1–43, 2016.
Statistical inference for stochastic dynamical systems

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.


The official version of the paper is here.   Please contact Prof. King if you'd like a reprint.

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