Inference of stochastic time series with missing data

TL;DR

This paper introduces an EM algorithm for inferring stochastic dynamics and missing data in time series, validated on synthetic and real neuronal data, improving model-data consistency and recovering neuronal activity properties.

Contribution

The novel EM algorithm effectively restores missing data and infers underlying network models in stochastic time series, with a new stopping criterion to optimize accuracy.

Findings

Algorithm successfully restores missing data in synthetic and real data.

It infers underlying network models with improved model-data consistency.

Recovers collective neuronal activity properties like correlations and firing statistics.

Abstract

Inferring dynamics from time series is an important objective in data analysis. In particular, it is challenging to infer stochastic dynamics given incomplete data. We propose an expectation maximization (EM) algorithm that iterates between alternating two steps: E-step restores missing data points, while M-step infers an underlying network model of restored data. Using synthetic data generated by a kinetic Ising model, we confirm that the algorithm works for restoring missing data points as well as inferring the underlying model. At the initial iteration of the EM algorithm, the model inference shows better model-data consistency with observed data points than with missing data points. As we keep iterating, however, missing data points show better model-data consistency. We find that demanding equal consistency of observed and missing data points provides an effective stopping criterion for the iteration to prevent overshooting the most accurate model inference. Armed with this EM algorithm with this stopping criterion, we infer missing data points and an underlying network from a time-series data of real neuronal activities. Our method recovers collective properties of neuronal activities, such as time correlations and firing statistics, which have previously never been optimized to fit.