Dataset Information

Regime-Switching Discrete ARMA Models for Categorical Time Series.

ABSTRACT: For the modeling of categorical time series, both nominal or ordinal time series, an extension of the basic discrete autoregressive moving-average (ARMA) models is proposed. It uses an observation-driven regime-switching mechanism, leading to the family of RS-DARMA models. After having discussed the stochastic properties of RS-DARMA models in general, we focus on the particular case of the first-order RS-DAR model. This RS-DAR ( 1 ) model constitutes a parsimoniously parameterized type of Markov chain, which has an easy-to-interpret data-generating mechanism and may also handle negative forms of serial dependence. Approaches for model fitting are elaborated on, and they are illustrated by two real-data examples: the modeling of a nominal sequence from biology, and of an ordinal time series regarding cloudiness. For future research, one might use the RS-DAR ( 1 ) model for constructing parsimonious advanced models, and one might adapt techniques for smoother regime transitions.

SUBMITTER: Weiß CH

PROVIDER: S-EPMC7516940 | biostudies-literature | 2020 Apr

REPOSITORIES: biostudies-literature

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Regime-Switching Discrete ARMA Models for Categorical Time Series.

Weiß Christian H CH

Entropy (Basel, Switzerland) 20200417 4

For the modeling of categorical time series, both nominal or ordinal time series, an extension of the basic discrete autoregressive moving-average (ARMA) models is proposed. It uses an observation-driven regime-switching mechanism, leading to the family of RS-DARMA models. After having discussed the stochastic properties of RS-DARMA models in general, we focus on the particular case of the first-order RS-DAR model. This RS-DAR ( 1 ) model constitutes a parsimoniously parameterized type of Markov ...[more]

PMID: 33286232

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Project description:Dengue, a mosquito-borne infectious disease caused by the dengue viruses, is present in many parts of the tropical and subtropical regions of the world. All four serotypes of dengue viruses are endemic in Singapore, an equatorial city-state. Frequent outbreaks occur, sometimes leading to national epidemics. However, few studies have attempted to characterize breakpoints which precede large rises in dengue case counts. In this paper, Bayesian regime switching (BRS) models were employed to infer epidemic and endemic regimes of dengue transmissions, each containing regime specific autoregressive processes which drive the growth and decline of dengue cases, estimated using a custom built multi-move Gibbs sampling algorithm. Posterior predictive checks indicate that BRS replicates temporal trends in Dengue transmissions well and nowcast accuracy assessed using a post-hoc classification scheme showed that BRS classification accuracy is robust even under limited data with the AUC-ROC at 0.935. LASSO-based regression and bootstrapping was used to account for plausibly high dimensions of climatic factors affecting Dengue transmissions, which was then estimated using cross-validation to conduct statistical inference on long-run climatic effects on the estimated regimes. BRS estimates epidemic and endemic regimes of dengue in Singapore which are characterized by persistence across time, lasting an average of 20 weeks and 66 weeks respectively, with a low probability of transitioning away from their regimes. Climate analysis with LASSO indicates that long-run climatic effects up to 20 weeks ago do not differentiate epidemic and endemic regimes. Lastly, by fitting BRS to simulated disease data generated from a stochastic Susceptible-Infected-Recovered model, mechanistic links between infectivity and regimes classified using BRS were provided. The model proposed could be applied to other localities and diseases under minimal data requirements where transmission counts over time are collected.

Project description:BackgroundPrediction models for time-to-event outcomes are commonly used in biomedical research to obtain subject-specific probabilities that aid in making important clinical care decisions. There are several regression and machine learning methods for building these models that have been designed or modified to account for the censoring that occurs in time-to-event data. Discrete-time survival models, which have often been overlooked in the literature, provide an alternative approach for predictive modeling in the presence of censoring with limited loss in predictive accuracy. These models can take advantage of the range of nonparametric machine learning classification algorithms and their available software to predict survival outcomes.MethodsDiscrete-time survival models are applied to a person-period data set to predict the hazard of experiencing the failure event in pre-specified time intervals. This framework allows for any binary classification method to be applied to predict these conditional survival probabilities. Using time-dependent performance metrics that account for censoring, we compare the predictions from parametric and machine learning classification approaches applied within the discrete time-to-event framework to those from continuous-time survival prediction models. We outline the process for training and validating discrete-time prediction models, and demonstrate its application using the open-source R statistical programming environment.ResultsUsing publicly available data sets, we show that some discrete-time prediction models achieve better prediction performance than the continuous-time Cox proportional hazards model. Random survival forests, a machine learning algorithm adapted to survival data, also had improved performance compared to the Cox model, but was sometimes outperformed by the discrete-time approaches. In comparing the binary classification methods in the discrete time-to-event framework, the relative performance of the different methods varied depending on the data set.ConclusionsWe present a guide for developing survival prediction models using discrete-time methods and assessing their predictive performance with the aim of encouraging their use in medical research settings. These methods can be applied to data sets that have continuous time-to-event outcomes and multiple clinical predictors. They can also be extended to accommodate new binary classification algorithms as they become available. We provide R code for fitting discrete-time survival prediction models in a github repository.

Dataset Information

Regime-Switching Discrete ARMA Models for Categorical Time Series.

Publications

Regime-Switching Discrete ARMA Models for Categorical Time Series.

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