Parameter estimation in general state-space models using particle methods

zbMath1047.62084MaRDI QIDQ1881407

Arnaud Doucet, Vladislav B. Tadić

Publication date: 5 October 2004

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

zbMATH Keywords

optimal filtering; state-space models; nonlinear time series; sequential Monte Carlo

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62L20: Stochastic approximation

Related Items

Learning in Volatile Environments With the Bayes Factor Surprise, A Survey of Sequential Monte Carlo Methods for Economics and Finance, Uniform Stability of a Particle Approximation of the Optimal Filter Derivative, Bayesian methods for time‐varying state and parameter estimation in induction machines, Sequential estimation of the time-dependent heat transfer coefficient using the method of fundamental solutions and particle filters, Joint Online Parameter Estimation and Optimal Sensor Placement for the Partially Observed Stochastic Advection-Diffusion Equation, Recognizing recurrent neural networks (rRNN): Bayesian inference for recurrent neural net\-works, Direct fitting of dynamic models using integrated nested Laplace approximations -- INLA, Nonlinear tracking in a diffusion process with a Bayesian filter and the finite element method, Approximate Bayesian recursive estimation, A self-organizing state space model and simplex initial distribution search, System identification of nonlinear state-space models, Four encounters with system identification, Sequential particle filter estimation of a time-dependent heat transfer coefficient in a multidimensional nonlinear inverse heat conduction problem, Maximum likelihood estimation of the Cox-Ingersoll-Ross model using particle filters, Variational Bayesian identification and prediction of stochastic nonlinear dynamic causal models, Online data processing: comparison of Bayesian regularized particle filters, Stability of optimal filter higher-order derivatives, Probabilistic solutions to ordinary differential equations as nonlinear Bayesian filtering: a new perspective, Particle-based online estimation of tangent filters with application to parameter estimation in nonlinear state-space models, Joint parameter and state estimation based on marginal particle filter and particle swarm optimization, Particle filters and Bayesian inference in financial econometrics, Fitting Stochastic Volatility Models in the Presence of Irregular Sampling via Particle Methods and the EM Algorithm