De-biasing particle filtering for a continuous time hidden Markov model with a Cox process observation model
Publication Name
Statistica Sinica
Abstract
We develop a (nearly) unbiased particle filtering algorithm for a specific class of continuous-time state-space models, such that (a) the latent process Xt is a linear Gaussian diffusion; and (b) the observations arise from a Poisson process with intensity λ(Xt). The likelihood and the posterior probability density function of the latent process include an intractable path integral. Our algorithm relies on Poisson estimates which approximate unbiasedly this integral. We show how we can tune these Poisson estimates to ensure that, with large probability, all but a few of the estimates generated by the algorithm are positive. Then replacing the negative estimates by zero leads to a much smaller bias than what would be obtained through discretisation. We quantify the probability of negative estimates for certain special cases and show that our particle filter is effectively unbiased. We apply our method to a challenging 3D single molecule tracking example with a Born-Wolf observation model.
Open Access Status
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