%0 Journal Article %1 doucet2013derivativefree %A Doucet, Arnaud %A Jacob, Pierre E. %A Rubenthaler, Sylvain %D 2013 %K bayesian mcmc optimization probability readings stats %T Derivative-Free Estimation of the Score Vector and Observed Information Matrix with Application to State-Space Models %U http://arxiv.org/abs/1304.5768 %X Ionides, King et al. (see e.g. Inference for nonlinear dynamical systems, PNAS 103) have recently introduced an original approach to perform maximum likelihood parameter estimation in state-space models which only requires being able to simulate the latent Markov model according to its prior distribution. Their methodology relies on an approximation of the score vector for general statistical models based upon an artificial posterior distribution and bypasses the calculation of any derivative. We show here that this score estimator can be derived from a simple application of Stein's lemma and how an additional application of this lemma provides an original derivative-free estimator of the observed information matrix. We establish that these estimators exhibit robustness properties compared to finite difference estimators while their bias and variance scale as well as finite difference type estimators, including simultaneous perturbations (see e.g. Spall, IEEE Trans. on Automatic Control 37), with respect to the dimension of the parameter. For state-space models where sequential Monte Carlo computation is required, these estimators can be further improved. In this specific context, we derive original derivative-free estimators of the score vector and observed information matrix which are computed using sequential Monte Carlo approximations of smoothed additive functionals associated with a modified version of the original state-space model.

@article{doucet2013derivativefree, abstract = {Ionides, King et al. (see e.g. Inference for nonlinear dynamical systems, PNAS 103) have recently introduced an original approach to perform maximum likelihood parameter estimation in state-space models which only requires being able to simulate the latent Markov model according to its prior distribution. Their methodology relies on an approximation of the score vector for general statistical models based upon an artificial posterior distribution and bypasses the calculation of any derivative. We show here that this score estimator can be derived from a simple application of Stein's lemma and how an additional application of this lemma provides an original derivative-free estimator of the observed information matrix. We establish that these estimators exhibit robustness properties compared to finite difference estimators while their bias and variance scale as well as finite difference type estimators, including simultaneous perturbations (see e.g. Spall, IEEE Trans. on Automatic Control 37), with respect to the dimension of the parameter. For state-space models where sequential Monte Carlo computation is required, these estimators can be further improved. In this specific context, we derive original derivative-free estimators of the score vector and observed information matrix which are computed using sequential Monte Carlo approximations of smoothed additive functionals associated with a modified version of the original state-space model.}, added-at = {2019-11-30T23:08:48.000+0100}, author = {Doucet, Arnaud and Jacob, Pierre E. and Rubenthaler, Sylvain}, biburl = {https://www.bibsonomy.org/bibtex/27ca70484fd7a33095583d2725069b55e/kirk86}, description = {[1304.5768] Derivative-Free Estimation of the Score Vector and Observed Information Matrix with Application to State-Space Models}, interhash = {55650bd378fa7a3b24a05a7d2345880d}, intrahash = {7ca70484fd7a33095583d2725069b55e}, keywords = {bayesian mcmc optimization probability readings stats}, note = {cite arxiv:1304.5768Comment: Technical report, 43 pages, 7 figures}, timestamp = {2019-11-30T23:08:48.000+0100}, title = {Derivative-Free Estimation of the Score Vector and Observed Information Matrix with Application to State-Space Models}, url = {http://arxiv.org/abs/1304.5768}, year = 2013 }