Bayesian computational methods for state-space models with application to SIR model

The state-space model is a powerful statistical tool to estimate linear or non-linear discrete-time dynamic systems. This model naturally leads to the estimation problem of the time-varying parameters of the discovery-time demographic version of the susceptible-infected-recovered (SIR) model that we consider. In this paper, we consider computational methods to perform Bayesian inference on state-space models for analysing time-series data. We compare the three popular Bayesian computational methods for state-space models: the adaptive Metropolis-within-Gibbs algorithm, Liu and West's algorithm and variational approximation method based on Gaussian distributions. The performances of the three methods are compared based on synthetic datasets. Furthermore, we analyse the trend of the spread of COVID-19 in South Korea to point out the limitations of existing methods and derive meaningful results.