Performance of multiple-model filters and parameter-sensitivity analysis for likelihood evaluation with shock variance models

The performance of multiple-model filtering algorithms is examined for shock-variance models, which are a form of linear Gaussian switching models. The primary aim is to determine whether existing multiple-model filters are suitable for evaluating measurement likelihoods in classification applications, and under what conditions such classification models are viable. Simulation experiments are used to empirically examine the likelihood-evaluation performance of suboptimal merging and pruning algorithms as the number of state hypotheses per time step (i.e., algorithm order) increases. The second-order generalized pseudo-Bayes or (GPB(2)) algorithm is found to provide excellent performance relative to higher order GPB algorithms through order five. Likelihoods from fixed-size pruning (FSP) algorithms with increasing numbers of state hypotheses are used to validate the GPB likelihoods, and convergence of the FSP likelihoods to the GPB values is observed. These results suggest that GPB(2) is a reasonable approximation to the unrealizable optimal algorithm for classification. In all cases except very-low-noise situations, the interacting multiple model (IMM) algorithm is found to provide an adequate approximation to GPB(2). Sensitivity of likelihood estimates to certain model parameters is also investigated via a mismatch analysis. As a classification tool, the discrimination capabilities of the measurement likelihoods are tested using an idealized forced-choice experiment, both with ideal and with mismatched models