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      Time series analysis via mechanistic models

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          Abstract

          The purpose of time series analysis via mechanistic models is to reconcile the known or hypothesized structure of a dynamical system with observations collected over time. We develop a framework for constructing nonlinear mechanistic models and carrying out inference. Our framework permits the consideration of implicit dynamic models, meaning statistical models for stochastic dynamical systems which are specified by a simulation algorithm to generate sample paths. Inference procedures that operate on implicit models are said to have the plug-and-play property. Our work builds on recently developed plug-and-play inference methodology for partially observed Markov models. We introduce a class of implicitly specified Markov chains with stochastic transition rates, and we demonstrate its applicability to open problems in statistical inference for biological systems. As one example, these models are shown to give a fresh perspective on measles transmission dynamics. As a second example, we present a mechanistic analysis of cholera incidence data, involving interaction between two competing strains of the pathogen Vibrio cholerae.

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          Most cited references31

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          Sequential Monte Carlo samplers

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            Estimating the impact of school closure on influenza transmission from Sentinel data.

            The threat posed by the highly pathogenic H5N1 influenza virus requires public health authorities to prepare for a human pandemic. Although pre-pandemic vaccines and antiviral drugs might significantly reduce illness rates, their stockpiling is too expensive to be practical for many countries. Consequently, alternative control strategies, based on non-pharmaceutical interventions, are a potentially attractive policy option. School closure is the measure most often considered. The high social and economic costs of closing schools for months make it an expensive and therefore controversial policy, and the current absence of quantitative data on the role of schools during influenza epidemics means there is little consensus on the probable effectiveness of school closure in reducing the impact of a pandemic. Here, from the joint analysis of surveillance data and holiday timing in France, we quantify the role of schools in influenza epidemics and predict the effect of school closure during a pandemic. We show that holidays lead to a 20-29% reduction in the rate at which influenza is transmitted to children, but that they have no detectable effect on the contact patterns of adults. Holidays prevent 16-18% of seasonal influenza cases (18-21% in children). By extrapolation, we find that prolonged school closure during a pandemic might reduce the cumulative number of cases by 13-17% (18-23% in children) and peak attack rates by up to 39-45% (47-52% in children). The impact of school closure would be reduced if it proved difficult to maintain low contact rates among children for a prolonged period.
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              Sequential Monte Carlo without likelihoods.

              Recent new methods in Bayesian simulation have provided ways of evaluating posterior distributions in the presence of analytically or computationally intractable likelihood functions. Despite representing a substantial methodological advance, existing methods based on rejection sampling or Markov chain Monte Carlo can be highly inefficient and accordingly require far more iterations than may be practical to implement. Here we propose a sequential Monte Carlo sampler that convincingly overcomes these inefficiencies. We demonstrate its implementation through an epidemiological study of the transmission rate of tuberculosis.
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                Author and article information

                Journal
                31 January 2008
                2009-06-08
                Article
                10.1214/08-AOAS201
                0802.0021
                b472eb85-df8a-492c-be82-80d198cf7248

                http://arxiv.org/licenses/nonexclusive-distrib/1.0/

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                Custom metadata
                IMS-AOAS-AOAS201
                Annals of Applied Statistics 2009, Vol. 3, No. 1, 319-348
                Published in at http://dx.doi.org/10.1214/08-AOAS201 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Institute of Mathematical Statistics (http://www.imstat.org)
                math.ST stat.TH

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