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Efficient sampling of conditioned Markov jump processes

Research output: Contribution to journalJournal article

E-pub ahead of print
<mark>Journal publication date</mark>13/02/2019
<mark>Journal</mark>Statistics and Computing
Number of pages15
Publication statusE-pub ahead of print
Early online date13/02/19
Original languageEnglish

Abstract

We consider the task of generating draws from a Markov jump process (MJP) between two time-points at which the process is known. Resulting draws are typically termed bridges and the generation of such bridges plays a key role in simulation-based inference algorithms for MJPs. The problem is challenging due to the intractability of the conditioned process, necessitating the use of computationally intensive methods such as weighted resampling or Markov chain Monte Carlo. An efficient implementation of such schemes requires an approximation of the intractable conditioned hazard/propensity function that is both cheap and accurate. In this paper, we review some existing approaches to this problem before outlining our novel contribution. Essentially, we leverage the tractability of a Gaussian approximation of the MJP and suggest a computationally efficient implementation of the resulting conditioned hazard approximation. We compare and contrast our approach with existing methods using three examples.