Cholerae.: The Annals of Applied Statistics 10.1214/08-AOAS201 Institute of Mathematical Statistics
Cholerae.: The Annals of Applied Statistics 10.1214/08-AOAS201 Institute of Mathematical Statistics
Cholerae.: The Annals of Applied Statistics 10.1214/08-AOAS201 Institute of Mathematical Statistics
Each flow Nij is associated with a rate function ij = ij (t, X(t)). There
are many ways to develop concrete interpretations of such a compartment
model. For the remainder of this section, we take Xi (t) to be nonnegative
integer-valued, so X(t) models a population divided into c disjoint categories
and ij is the rate at which each individual in compartment i moves to j.
In this context, it is natural to require that {Nij (t), 1 i c, 1 j c} is
a collection of nondecreasing integer-valued stochastic processes satisfying
the constraint Xi (t) 0 for all i and t. The conservation equation (1) makes
the compartment model closed in the sense that individuals cannot enter
or leave the population. However, processes such as immigration, birth or
death can be modeled via the introduction of additional source and sink
compartments.
We wish to introduce white noise to model stochastic variation in the
rates (discussion of this decision is postponed to Sections 4 and 5). We
refer to white noise as the derivative of an integrated noise process with
stationary independent increments [Karlin and Taylor (1981)]. The integral
of a white noise process over an interval is thus well defined, even when
the sample paths of the integrated noise process are not formally differen-
tiable. Specifically, we introduce a collection of integrated noise processes
{ij (t), 1 i c, 1 j c} with the properties:
(P1) Independent increments: The collection of increments {ij (t2 )ij (t1 ),
1 i c, 1 j c} is presumed to be independent of {ij (t4 ) ij (t3 ),
1 i c, 1 j c} for all t1 < t2 < t3 < t4 .
MECHANISTIC MODELS FOR TIME SERIES 5
7. END FOR
Fig. 1. Euler scheme for a numerical solution of the Markov chain specified by (2). In
steps 5 and 6, Ri counts the individuals who remain in compartment i during the current
Euler increment.
the rate function) are a standard numerical approach for studying popula-
tion dynamics [Cai and Xu (2007)]. The representation of our model given
in (2) is implicit since numerical solution is available to arbitrary precision
via evaluating the coupled multinomial processes in a discrete time-step
Euler scheme (described in Figure 1). Let Nij = Nij (t + ) Nij (t) and
ij = ij (t + ) ij (t). We suppose that
P [Nij = nij , for all 1 i c, 1 j c, i 6= j | X(t) = (x1 , . . . , xc )]
" c
( ! ri )#
Y xi X Y n
(2) =E 1 pik pijij
ni1 nii1 nii+1 nic ri
i=1 k6=i j6=i
+ o(),
n
where ri = xi k6=i nik , is a multinomial coefficient and
P
n1 nc
with ij = ij (t, x). Theorem A.1, which is stated in Appendix A and proved
in a supplement to this article [Breto et al. (2009)], shows that (2) defines
a continuous time Markov chain when the conditions (P1)(P5) hold. A
finite-state continuous time Markov chain is specified by its infinitesimal
transition probabilities [Bremaud (1999)], which are in turn specified by
(2). Theorem A.2, also stated in Appendix A and proved in the supplement
[Breto et al. (2009)], determines the infinitesimal transition probabilities re-
sulting from (2) supposing the conditions (P1)(P7). When the infinitesimal
transition probabilities can be calculated exactly, exact simulation methods
are available [Gillespie (1977)]. In practice, numerical schemes based on Eu-
ler approximations may be preferableEuler schemes for Markov chain com-
partment models have been proposed based on Poisson [Gillespie (2001)],
binomial [Tian and Burrage (2004)] and multinomial [Cai and Xu (2007)]
approximations. Our choice of a model for which convenient numerical so-
lutions are available (e.g., via the procedure in Figure 1) comes at the ex-
pense of difficulty in computing analytic properties of the implicitly-defined
continuous-time process. However, since the properties of the model will be
investigated by simulation, via a plug-and-play methodology, the analytic
properties of the continuous-time process are of relatively little interest.
For the gamma noise in (P7), the special case where ij = 0 is taken to
correspond to ij (t) = 1. If ij = 0 for all i and j, then (2) becomes the Pois-
son system widely used to model demographic stochasticity in population
models [Bremaud (1999), Bartlett (1960)]. We therefore call a process de-
fined by (2) a Poisson system with stochastic rates. Constructions similar to
MECHANISTIC MODELS FOR TIME SERIES 7
Theorem A.1 are standard for Poisson systems [Bremaud (1999)], but here
care is required to deal with the novel inclusion of white noise in the rate
process. Our formulation for adding noise to Poisson systems can be seen
as a generalization of subordinated Levy processes [Sato (1999)], though we
are not aware of previous work on the more general Markov processes con-
structed here. It is only the recent development of plug-and-play inference
methodology that has led to the need for flexible Markov chain models with
random rates.
Fig. 3. Biweekly recorded measles cases (solid line) and birth rate (dotted line, estimated
by smooth interpolation of annual birth statistics) for London, England.
Fig. 4. Flow diagram for measles. Each individual host falls in one compartment: S,
susceptible; E, exposed and infected but not yet infectious; I, infectious; R, removed and
subsequently recovered and immune. Births enter S after a delay , and all individuals
have a mortality rate m.
MECHANISTIC MODELS FOR TIME SERIES 15
the system, and other transitions are taken to be noise-free. The two other
disease parameters, EI and IR , are treated as unknown constants. We sup-
pose a constant mortality rate, SD = ED = ID = RD = m, and here we
fix m = 1/50 year1 . The R recruitment of school-age children is specified by
the process NBS (t) = 0t b(s ) ds, where b(t) is the birth rate, presented
in Figure 3, and x is the integer part of x. We note that the construction
above does not perfectly match the constraint S(t) + E(t) + I(t) + R(t) =
P (t). For a childhood disease, such as measles, a good estimate of the birth
rate is important, whereas the system is insensitive to the exact size of the
adult population.
All transitions not mentioned above are taken to have a rate of zero.
To complete the model specification, a measurement model is required. Bi-
weekly aggregated measles cases are denoted by Cn = NIR (tn ) NIR (tn1 )
with tn being the time, in years, of the nth observation. Reporting rates
n are taken to be independent Gamma(1/, ) random variables. Condi-
tional on n , the observations are modeled as independent Poisson counts,
Yn |n , Cn Poisson(n Cn ). Thus, Yn given Cn has a negative binomial dis-
tribution with E[Yn |Cn ] = Cn and Var(Yn |Cn ) = Cn + 2 Cn2 . Note that
the measurement model counts transitions into R, since individuals are re-
moved from the infective pool (treated with bed-rest) once diagnosed. The
measurement model allows for the possibility of both demographic stochas-
ticity (i.e., Poisson variability) and environmental stochasticity (i.e., gamma
variability on the rates).
A likelihood ratio test concludes that, in the context of this model, en-
vironmental stochasticity is clearly required to explain the data: the log
16 C. BRETO, D. HE, E. L. IONIDES AND A. A. KING
likelihood for the full model was found to be 2504.9, compared to 2662.0
for the restricted model with SE = 0 (p < 106 , chi-square test; results
based on a time-step of = 1 day in the Euler scheme of Figure 1 and a
Monte Carlo sample size of J = 20000 when carrying out the iterated filter-
ing algorithm in Figure 2). Future model-based scientific investigations of
disease dynamics should consider environmental stochasticity when basing
scientific conclusions on the results of formal statistical tests.
Environmental stochasticity, like over-dispersion in generalized linear mod-
els, is more readily detected than scientifically explained. Teasing apart
the extent to which environmental stochasticity is describing model mis-
specification rather than random phenomena in the system is beyond the
scope of the present paper. The inference framework developed here will
facilitate both asking and answering such questions. However, this distinc-
tion is not relevant to the central statistical question of whether a particular
class of scientifically motivated models requires environmental stochasticity
(in the broadest sense of a source of variability above and beyond demo-
graphic stochasticity) to explain the data. Models of biological systems are
necessarily simplifications of complex processes [May (2004)], and as such, it
is a legitimate role for environmental stochasticity to represent and quantify
the contributions of unknown and/or unmodeled processes to the system
under investigation.
The environmental stochasticity identified here has consequences for the
qualitative understanding of measles epidemics. Bauch and Earn (2003) have
pointed out that demographic stochasticity is not sufficient to explain the
deviations which historically occurred from periodic epidemics (at one, two
or three year cycles, depending on the population size and the birth-rate).
Simulations from the fitted model with environmental stochasticity are able
to reproduce such irregularities (results not shown), giving a simple expla-
nation of this phenomenon. This does not rule out the possibility that some
other explanation, such as explicitly introducing a new covariate into the
model, could give an even better explanation.
In agreement with Cauchemez and Ferguson (2008), we have found that
some combinations of parameters in our model are only weakly identifiable
(i.e., they are formally identifiable, but have broad confidence intervals).
Although this does not invalidate the above likelihood ratio test, it does
cause difficulties interpreting parameter estimates. In the face of this prob-
lem, Cauchemez and Ferguson (2008) made additional modeling assump-
tions to improve identifiability of unknown parameters. Here, our goal is to
demonstrate our modeling and inference framework, rather than to present
a comprehensive investigation of measles dynamics.
The analysis of Cauchemez and Ferguson (2008), together with other con-
tributions by the same authors [Cauchemez et al. (2008, 2006)], represents
the state of the art for Markov chain Monte Carlo analysis of population
MECHANISTIC MODELS FOR TIME SERIES 17
Fig. 5. Biweekly cholera cases obtained from hospital records of the International Center
for Diarrheal Disease Research, Bangladesh for the district of Matlab, Bangladesh, 55 km
SE of Dhaka. Cases are categorized into serotypes, Inaba (dashed) and Ogawa (solid gray).
Each serotype may be further classified into one of two biotypes, El Tor and Classical, which
are combined here, following Koelle et al. (2006b). The total population size of the district,
in thousands, is shown as a dotted line.
matched the period of cycles in strain dominance only when the cross-
immunity was high, that is, when the probability of cross-protection was
approximately 0.95. In addition, they found that their models behavior de-
pended very sensitively on the cross-immunity parameter. Here we employ
formal likelihood-based inference on the same data to assess the strength of
the evidence in favor of these conclusions.
Fig. 6. Flow diagram for cholera, including interactions between the two major serotypes.
Each individual host falls in one compartment: S, susceptible to both Inaba and Ogawa
serotypes; I1 , infected with Inaba; I2 , infected with Ogawa; S1 , susceptible to Inaba (but
immune to Ogawa); S2 , susceptible to Ogawa (but immune to Inaba); I1 , infected with
Inaba (but immune to Ogawa); I2 , infected with Ogawa (but immune to Inaba); R, immune
to both serotypes. Births enter S, and all individuals have a mortality rate m.
MECHANISTIC MODELS FOR TIME SERIES 19
Some results from fitting the model in Figure 6 via the method in Fig-
ure 2 are shown in Table 2. The two sets of parameter values A and B in
Table 2 are maximum likelihood estimates, with A having the additional
constraints = 0.067 and r = 38.4. These two constraints were imposed by
20 C. BRETO, D. HE, E. L. IONIDES AND A. A. KING
Table 1
Interpretation of Figure 6 via the multinomial process with random rates in (2), with
X(t) = (S(t), I1 (t), I2 (t), S1 (t), S2 (t), I1 (t), I2 (t), R(t), B(t), D(t)). Compartments B
and D are introduced for demographic considerations: births are formally treated as
transitions from B to S and deaths as transitions into D. All transitions not listed above
have zero rate. 2 (t) and 1 (t) are independent gamma noise processes, each with
infinitesimal variance parameter 2 . Transition rates are noise-free unless specified
otherwise. Seasonality is modeled via a periodic cubic B-spline basis {si (t), i = 1, . . . , 6},
where si (t) attains its maximum at t = (i 1)/6. The population size P (t) is shown in
Figure 5. The birth process is treated as a covariate, that R t is, the analysis is carried out
conditional on the process NBS (t) = P (t) P (0) + 0 mP (s) ds, where x is the
integer part of x. There is a small stochastic discrepancy between
S(t) + I1 (t) + I2 (t) + S1 (t) + S2 (t) + I1 (t) + I2 (t) + R(t) and P (t). In principle, one
could condition on the demographic data by including a population measurement
modelwe saw no compelling reason to add this extra complexity for the current
purposes. Numerical solutions of sample paths were calculated using the algorithm in
Figure 1, with = 2/365
Koelle, Pascual and Yunus (2006b), based on previous literature. The fit-
ted model with the additional constraints is qualitatively different from the
unconstrained model, and we refer to the neighborhoods of these two pa-
rameter sets as regimes A and B. Figure 7 shows a profile likelihood for
cross-immunity in regime A; this likelihood-based analysis leads to substan-
tially lower cross-immunity than the estimate of Koelle, Pascual and Yunus
(2006b). In regime B, the cross-immunity is estimated as being complete
( = 1), however, the corresponding standard error is large: cross-immunity
is poorly identified in regime B since the much higher reporting rate ( =
0.65) means that there are many fewer cases and so few individuals are ever
exposed to both serotypes.
These two regimes demonstrate two distinct uses of a statistical model
first, to investigate the consequences of a set of assumptions and, second,
to challenge those assumptions. If we take for granted the published esti-
mates of certain parameter values, the resulting parameter estimates A are
broadly consistent with previous models for cholera dynamics in terms of
MECHANISTIC MODELS FOR TIME SERIES 21
Table 2
Parameter estimates from both regimes. In both regimes, the mortality rate m is fixed at
1/38.8 years1 . The units of r, b0 and are year1 ; has units year1/2 ; and , , ,
and b1 , . . . , b6 are dimensionless. is the average of two log-likelihood evaluations using a
particle filter with 120,000 particles. Optimization was carried out using the iterated
filtering in Figure 2, with M = 30, a = 0.95 and J = 15,000. Optimization parameters
were selected via diagnostic convergence plots [Ionides, Breto and King (2006)]. Standard
errors (SEs) were derived via a Hessian approximation; this is relatively rapid to
compute and gives a reasonable idea of the scale of uncertainty, but profile likelihood
based confidence intervals are more appropriate for formal inference
A SEA B SEB
the fraction of the population which has acquired immunity to cholera and
the fraction of cases which are asymptomatic (a term applied to the ma-
jority of unreported cases which are presumed to have negligible symptoms
but are nevertheless infectious). However, the likelihood values in Table 2
call into question the assumptions behind regime A, since the data are bet-
ter explained by regime B (p < 106 , likelihood ratio test), for which the
epidemiologically relevant cases are only the severe cases that are likely to
result in hospitalization. Unlike in regime A, asymptomatic cholera cases
play almost no role in regime B, since the reporting rate is an order of mag-
nitude higher. The contrast between these regimes highlights a conceptual
limitation of compartment models: in point of fact, disease severity and level
of infectiousness are continuous, not discrete or binary as they must be in
basic compartment models. For example, differences in the level of morbid-
ity required to be classified as infected result in re-interpretation of the
parameters of the model, with consequent changes to fundamental model
characteristics such as the basic reproductive ratio of an infectious disease
[Anderson and May (1991)]. Despite this limitation, it remains the case that
22 C. BRETO, D. HE, E. L. IONIDES AND A. A. KING
Fig. 7. Cross-immunity profile likelihood for regime A, yielding a 99% confidence inter-
val for of (0.20, 0.61) based on a 2 approximation [e.g., Barndorff-Nielsen and Cox
(1994)]. Each point corresponds to an optimization carried out as described in the cap-
tion of Table 2. Local quadratic regression implemented in R via loess with a span of 0.6
[R Development Core Team (2006)] was used to estimate the profile likelihood, following
Ionides (2005).
At time ,m = minj ,m,j , set C(, m) = arg minj ,m,j and for each j 6=
C(, m) generate an independent Exponential(1) random variable M,m,j .
Set
X
dNij (t) = I{C(, m 1) = i, C(, m) = j, ,m = t},
,m
where I{} is an indicator function, and set Xi (t) = Xi (0) + 0t j6=i (dNji
R P
Note A.1. The random variables {M,m,j } in Theorem A.1 are termed
transition clocks, with the intuition that X(t) jumps when one (or more)
of the integrated transition rates in (9) exceeds the value of its clock. In a
more basic construction of a Markov chain, one re-starts the clocks for each
individual whenever X(t) makes a transition. The memoryless property of
the exponential distribution makes this equivalent to the construction of
Theorem A.1, where clocks are restarted only for individuals who make a
transition [Sellke (1983)]. Sellkes construction is convenient for the proof of
Theorem A.1.
Note A.2. The trajectories of the individuals are coupled through the
dependence of (t, X(t)) on X(t), and through the noise processes which
are shared for all individuals in a given compartment and may be dependent
between compartments. Thus, to evaluate (9), it is necessary to keep track
of all individuals simultaneously. To check that the integral in (9) is well
defined, we note that X(s) depends only on {(,m , C(, m)) : ,m s, =
1, . . . , S, m = 1, 2, . . .}. X(s) is thus a function of events occurring by time s,
so it is legitimate to use X(s) when constructing events that occur at t > s.
where
(n, x, , )
(10)
n
X
x n
= 1{n=0} + (1)nk+1 2 ln(1 + 2 (x k)).
n k
k=0
follows that
X
E[Nij |X(t) = x] = P [Nij > k|X(t) = x] = ij xi + o(),
k=0
E[(Nij )2 |X(t) = x] =
X
(2k + 1)P [Nij > k|X(t) = x] = ij xi + o(),
k=0
Barbara, and the State of California. We thank Mercedes Pascual for dis-
cussions on multi-strain modeling. We thank the editor, associate editor and
referee for their helpful suggestions. The cholera data were kindly provided
by the International Centre for Diarrheal Disease Research, Bangladesh.
SUPPLEMENTARY MATERIAL
Theorems concerning compartment models with stochastic rates (DOI:
10.1214/08-AOAS201SUPP; .pdf). We present proofs of Theorems A.1 and A.2,
which were stated in Appendix A.
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C. Breto D. He
Department of Statistics A. A. King
Universidad Carlos III de Madrid Department of Ecology
Getafe 28903 and Evolutionary Biology
Madrid University of Michigan
Spain Ann Arbor, Michigan 48109-1048
E-mail: [email protected] USA
E-mail: [email protected]
[email protected]
E. L. Ionides
Department of Statistics
University of Michigan
Ann Arbor, Michigan 48109-1107
USA
E-mail: [email protected]