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Birth-death processes

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Abstract:

Many important stochastic counting models can be written as general birth-death processes (BDPs). BDPs are continuous-time Markov chains on the non-negative integers and can be used to easily parameterize a rich variety of probability distributions. Although the theoretical properties of general BDPs are well understood, traditionally statistical work on BDPs has been limited to the simple linear (Kendall) process, which arises in ecology and evolutionary applications. Aside from a few simple cases, it remains impossible to find analytic expressions for the likelihood of a discretely-observed BDP, and computational difficulties have hindered development of tools for statistical inference. But the gap between BDP theory and practical methods for estimation has narrowed in recent years. There are now robust methods for evaluating likelihoods for realizations of BDPs: finite-time transition, first passage, equilibrium probabilities, and distributions of summary statistics that arise commonly in applications. Recent work has also exploited the connection between continuously- and discretely-observed BDPs to derive EM algorithms for maximum likelihood estimation. Likelihood-based inference for previously intractable BDPs is much easier than previously thought and regression approaches analogous to Poisson regression are straightforward to derive. In this review, we outline the basic mathematical theory for BDPs and demonstrate new tools for statistical inference using data from BDPs. We give six examples of BDPs and derive EM algorithms to fit their parameters by maximum likelihood. We show how to compute the distribution of integral summary statistics and give an example application to the total cost of an epidemic. Finally, we suggest future directions for innovation in this important class of stochastic processes.

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