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State space model

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Definition

You have a process model and you have an observation model. The process model is our dynamic process of interest (for example, epidemics) while the observation model is how we measure it.

SIR Model

My interest in state-space models come from disease dynamics. A state-space model with an Model-SIR has been used for forecasting influenza and the fit is really good [1]

General workflow

We have the process model that is the SIR model but there is an observation model.

  1. In Osthus et al. 2017, they used the Beta Distribution to describe the observation model

  1. Osthus, Dave, et al. "Forecasting seasonal influenza with a state-space SIR model." The annals of applied statistics 11.1 (2017): 202. ↩︎