Maximum a posteriori sequence estimation using Monte Carlo particle filters

DOI10.1023/A:1017968404964zbMath0995.62096OpenAlexW1502857830MaRDI QIDQ5960137

Simon J. Godsill, Mike West, Arnaud Doucet

Publication date: 11 April 2002

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1017968404964

zbMATH Keywords

smoothing filtering particle filter maximum a posteriori estimation nonlinear non-Gaussian state space model

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Applications of mathematical programming (90C90) Nonlinear programming (90C30)

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