Particle-kernel estimation of the filter density in state-space models

DOI10.3150/13-BEJ545zbMath1346.60112arXiv1111.5866OpenAlexW3122092251MaRDI QIDQ470055

Joaquín Míguez, Dan Crisan

Publication date: 11 November 2014

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1111.5866

zbMATH Keywords

Markov systemsalmost sure convergencedensity estimationstate-space modelsparticle filteringstochastic filteringsequential Monte Carlo method

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Density estimation (62G07) Filtering in stochastic control theory (93E11) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Discrete-time Markov processes on general state spaces (60J05) Strong limit theorems (60F15) Signal detection and filtering (aspects of stochastic processes) (60G35) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical analysis or methods applied to Markov chains (65C40) Stochastic particle methods (65C35)

Related Items (12)

Convergence of Regularized Particle Filters for Stochastic Reaction Networks ⋮ Bandwidth selection in pre-smoothed particle filters ⋮ Stochastic filtering for multiscale stochastic reaction networks based on hybrid approximations ⋮ A nonlinear population Monte Carlo scheme for the Bayesian estimation of parameters of \(\alpha\)-stable distributions ⋮ Continuous‐time threshold autoregressions with jumps: Properties, estimation, and application to electricity markets ⋮ Efficient particle filtering for stochastic Korteweg–de Vries equations ⋮ Biased online parameter inference for state-space models ⋮ Parallel sequential Monte Carlo for stochastic gradient-free nonconvex optimization ⋮ Stochastic Filtering Methods in Electronic Trading ⋮ Convergence rates for optimised adaptive importance samplers ⋮ Inferences from optimal filtering equation ⋮ Convergence rates of kernel density estimates in particle filtering

Uses Software

• KernSmooth
• simannf90
• pyuvdata

Cites Work

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