Background: Disease surveillance systems are essential for effective disease intervention and control by monitoring disease prevalence as time series.To evaluate the severity of an epidemic,statistical methods are widely used to forecast the trend,seasonality,and the possible number of infections of a disease.However,most statistical methods are limited in revealing the underlying dynamics of disease transmission,which may be affected by various impact factors,such as environmental,meteorological,and physiological factors.In this study,we focus on investigating malaria transmission dynamics based on time series data.Methods: A data-driven nonlinear stochastic model is proposed to infer and predict the dynamics of malaria transmission based on the time series of prevalence data.Specifically,the dynamics of malaria transmission is modeled based on the notion of vectorial capacity (VCAP) and entomological inoculation rate (EIR).A particle Markov chain Monte Carlo (PMCMC) method is employed to estimate the model parameters.Accordingly,a one-step-ahead prediction method is proposed to project the number of future malaria infections.Finally,two case studies are carried out on the inference and prediction of Plasmodium vivax transmission in Tengchong and Longling,Yunnan province,China.Results: The results show that the trained data-driven stochastic model can well fit the historical time series of P.vivax prevalence data in both counties from 2007 to 2010.Moreover,with well-trained model parameters,the proposed one-step-ahead prediction method can achieve better performances than that of the seasonal autoregressive integrated moving average model with respect to predicting the number of future malaria infections.Conclusions: By involving dynamically changing impact factors,the proposed data-driven model together with the PMCMC method can successfully (i) depict the dynamics of malaria transmission,and (ii) achieve accurate one-step-ahead prediction about malaria infections.Such a data-driven method has the potential to investigate malaria transmission dynamics in other malaria-endemic countries/regions.