Particle Gibbs Sampling for Regime-Switching State-Space Models

Regime-switching state-space models (RS-SSMs) are an important class of statistical models that can be used to represent real-world phenomena. Unlike regular state-space models, RS-SSMs allow for dynamic uncertainty in the state transition and observations distributions, making them much more expressive. Unfortunately, there are no existing Bayesian inference techniques for joint estimation of regimes, states, and model parameters in generic RS-SSMs. In this work, we develop a particle Gibbs sampling algorithm for Bayesian learning in RS-SSMs. We demonstrate the proposed inference approach on a synthetic data experiment related to an ecological application, where the goal is in estimating the abundance and demographic rates of penguins in the Antarctic.