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- Iterated_filtering abstract "Iterated filtering algorithms are a tool for maximum likelihood inference on partially observed dynamical systems. Stochastic perturbations to the unknown parameters are used to explore the parameter space. Applying sequential Monte Carlo (the particle filter) to this extended model results in the selection of the parameter values that are more consistent with the data. Appropriately constructed procedures, iterating with successively diminished perturbations, converge to the maximum likelihood estimate. Iterated filtering methods have so far been used most extensively to study infectious disease transmission dynamics. Case studies include cholera, Ebola virus, influenza, malaria, HIV, pertussis, poliovirus and measles. Other areas which have been proposed to be suitable for these methods include ecological dynamics and finance.The perturbations to the parameter space play several different roles. Firstly, they smooth out the likelihood surface, enabling the algorithm to overcome small-scale features of the likelihood during early stages of the global search. Secondly, Monte Carlo variation allows the search to escape from local minima. Thirdly, the iterated filtering update uses the perturbed parameter values to construct an approximation to the derivative of the log likelihood even though this quantity is not typically available in closed form. Fourthly, the parameter perturbations help to overcome numerical difficulties that can arise during sequential Monte Carlo.".
- Iterated_filtering wikiPageExternalLink pomp.r-forge.r-project.org.
- Iterated_filtering wikiPageID "31745436".
- Iterated_filtering wikiPageLength "16248".
- Iterated_filtering wikiPageOutDegree "21".
- Iterated_filtering wikiPageRevisionID "699614086".
- Iterated_filtering wikiPageWikiLink Category:Dynamical_systems.
- Iterated_filtering wikiPageWikiLink Category:Monte_Carlo_methods.
- Iterated_filtering wikiPageWikiLink Category:Nonlinear_filters.
- Iterated_filtering wikiPageWikiLink Category:Statistical_algorithms.
- Iterated_filtering wikiPageWikiLink Cholera.
- Iterated_filtering wikiPageWikiLink Dynamical_system.
- Iterated_filtering wikiPageWikiLink Ebola_virus.
- Iterated_filtering wikiPageWikiLink Finance.
- Iterated_filtering wikiPageWikiLink HIV.
- Iterated_filtering wikiPageWikiLink Influenza.
- Iterated_filtering wikiPageWikiLink Malaria.
- Iterated_filtering wikiPageWikiLink Markov_process.
- Iterated_filtering wikiPageWikiLink Maximum_likelihood.
- Iterated_filtering wikiPageWikiLink Measles.
- Iterated_filtering wikiPageWikiLink Normal_distribution.
- Iterated_filtering wikiPageWikiLink Parameter.
- Iterated_filtering wikiPageWikiLink Particle_filter.
- Iterated_filtering wikiPageWikiLink Perturbation_theory.
- Iterated_filtering wikiPageWikiLink Pertussis.
- Iterated_filtering wikiPageWikiLink Poliovirus.
- Iterated_filtering wikiPageWikiLink Stochastic.
- Iterated_filtering wikiPageWikiLinkText "Iterated filtering".
- Iterated_filtering wikiPageUsesTemplate Template:Reflist.
- Iterated_filtering wikiPageUsesTemplate Template:Sic.
- Iterated_filtering subject Category:Dynamical_systems.
- Iterated_filtering subject Category:Monte_Carlo_methods.
- Iterated_filtering subject Category:Nonlinear_filters.
- Iterated_filtering subject Category:Statistical_algorithms.
- Iterated_filtering hypernym Tool.
- Iterated_filtering type Software.
- Iterated_filtering type Algorithm.
- Iterated_filtering type Field.
- Iterated_filtering type Filter.
- Iterated_filtering type Mechanic.
- Iterated_filtering type Method.
- Iterated_filtering type Physic.
- Iterated_filtering comment "Iterated filtering algorithms are a tool for maximum likelihood inference on partially observed dynamical systems. Stochastic perturbations to the unknown parameters are used to explore the parameter space. Applying sequential Monte Carlo (the particle filter) to this extended model results in the selection of the parameter values that are more consistent with the data.".
- Iterated_filtering label "Iterated filtering".
- Iterated_filtering sameAs Q17081875.
- Iterated_filtering sameAs m.0gttvzs.
- Iterated_filtering sameAs Q17081875.
- Iterated_filtering wasDerivedFrom Iterated_filtering?oldid=699614086.
- Iterated_filtering isPrimaryTopicOf Iterated_filtering.