A method for high-dimensional smoothing

DOI10.1016/J.JKSS.2018.08.004MaRDI QIDQ1726162zbMATH OpenOpenAlexFDO

Authors Yaxian Xu, Ajay Jasra

Publication date 19 February 2019

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jkss.2018.08.004

zbMATH Keywords

sequential Monte Carlosmoothinghigh dimensionsparameter inferenceforward smoothing

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Inference from stochastic processes and prediction (62M20)

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Cited in

(5)

• scientific article; zbMATH DE number 7625157 (Why is no real title available?)
• A lagged particle filter for stable filtering of certain high-dimensional state-space models
• Sequential Monte Carlo optimization and statistical inference
• A fast data smoothing algorithm
• Non-asymptotic deviation inequalities for smoothed additive functionals in nonlinear state-space models

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