pfMLLik {smfsb}

Create a function for computing the log of an unbiased estimate of marginal likelihood of a time course data set

Description

Create a function for computing the log of an unbiased estimate of marginal likelihood of a time course data set using a simple bootstrap particle filter. This version uses the "log-sum-exp trick" for avoiding numerical underflow of weights. See pfMLLik1 for a version which doesn't.

Usage

pfMLLik(n,simx0,t0,stepFun,dataLik,data)

Arguments

n

An integer representing the number of particles to use in the particle filter.

simx0

A function with interface simx0(n,t0,...), where n is the number of rows of a matrix and t0 is a time at which to simulate from an initial distribution for the state of the particle filter. The return value should be a matrix whose rows are random samples from this distribution. The function therefore represents a prior distribution on the initial state of the Markov process.

t0

The time corresponding to the starting point of the Markov process. Can be no bigger than the smallest observation time.

stepFun

A function for advancing the state of the Markov process, such as returned by StepGillespie.

dataLik

A function with interface dataLik(x,t,y,log=TRUE,...), where x and t represent the true state and time of the process, and y is the observed data. The return value should be the (log of the) likelihood of the observation. The function therefore represents the observation model.

data

A timed data matrix representing the observations, such as produced by simTimes or as.timedData.

Value

An R function with interface (...) which evaluates to the log of the particle filter's unbiased estimate of the marginal likelihood of the data.

See Also

pfMLLik1, StepGillespie, as.timedData, simTimes, stepLVc

Examples

noiseSD=5
# first simulate some data
truth=simTs(c(x1=50,x2=100),0,20,2,stepLVc)
data=truth+rnorm(prod(dim(truth)),0,noiseSD)
data=as.timedData(data)
# measurement error model
dataLik <- function(x,t,y,log=TRUE,...)
{
    ll=sum(dnorm(y,x,noiseSD,log=TRUE))
    if (log)
        return(ll)
    else
        return(exp(ll))
}
# now define a sampler for the prior on the initial state
simx0 <- function(N,t0,...)
{
    mat=cbind(rpois(N,50),rpois(N,100))
    colnames(mat)=c("x1","x2")
    mat
}
mLLik=pfMLLik(1000,simx0,0,stepLVc,dataLik,data)
print(mLLik())
print(mLLik(th=c(th1 = 1, th2 = 0.005, th3 = 0.6)))
print(mLLik(th=c(th1 = 1, th2 = 0.005, th3 = 0.5)))