On the two-filter approximations of marginal smoothing distributions in general state-space models
From MaRDI portal
Publication:5214997
DOI10.1017/apr.2018.8OpenAlexW2963084975WikidataQ130107176 ScholiaQ130107176MaRDI QIDQ5214997
Sylvain Le Corff, Thi Ngoc Minh Nguyen, Eric Moulines
Publication date: 5 February 2020
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1605.08534
Related Items
Backward Importance Sampling for Online Estimation of State Space Models ⋮ Particle-based online estimation of tangent filters with application to parameter estimation in nonlinear state-space models
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Particle approximations of the score and observed information matrix in state space models with application to parameter estimation
- On particle methods for parameter estimation in state-space models
- Likelihood computation for hidden Markov models via generalized two-filter smoothing
- Efficient particle-based online smoothing in general hidden Markov models: the PaRIS algorithm
- Sequential Monte Carlo smoothing for general state space hidden Markov models
- Smoothing algorithms for state-space models
- Limit theorems for weighted samples with applications to sequential Monte Carlo methods
- Numerically stable online estimation of variance in particle filters
- The two-filter formula for smoothing and an implementation of the Gaussian-sum smoother
- Online expectation maximization based algorithms for inference in hidden Markov models
- Recursive Monte Carlo filters: algorithms and theoretical analysis
- Inference in hidden Markov models.
- Non-asymptotic deviation inequalities for smoothed additive functionals in nonlinear state-space models
- Sequential Monte Carlo Methods in Practice
- Online Learning with Hidden Markov Models
- A sequential smoothing algorithm with linear computational cost
- Two-filter formulae for discrete-time non-linear bayesian smoothing
- Filtering via Simulation: Auxiliary Particle Filters
- Variance estimation in the particle filter
- Convergence of a Particle-Based Approximation of the Block Online Expectation Maximization Algorithm
- A backward particle interpretation of Feynman-Kac formulae
- Monte Carlo Smoothing for Nonlinear Time Series
- Path storage in the particle filter