A sequential smoothing algorithm with linear computational cost

DOI10.1093/BIOMET/ASQ013MaRDI QIDQ3585406zbMATH OpenOpenAlexFDO

Authors Paul Fearnhead, David Wyncoll, Jonathan A. Tawn

Publication date 19 August 2010

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://eprints.lancs.ac.uk/id/eprint/8844/2/smoothing.pdf

zbMATH Keywords

extreme value theoryforward-backward algorithmparticle filteringparticle smoothingtwo-filter formula

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Bayesian inference (62F15) Sequential statistical analysis (62L10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cited in

(27)

• Sequential Monte Carlo smoothing with parameter estimation
• Efficient particle smoothing for Bayesian inference in dynamic survival models
• Particle-based online estimation of tangent filters with application to parameter estimation in nonlinear state-space models
• Lookahead strategies for sequential Monte Carlo
• On particle methods for parameter estimation in state-space models
• Theory of segmented particle filters
• Adaptive importance sampling for control and inference
• Uniform ergodicity of the particle Gibbs sampler
• Particle filters and Bayesian inference in financial econometrics
• Particle filters
• Likelihood computation for hidden Markov models via generalized two-filter smoothing
• Computational aspects of sequential Monte Carlo filter and smoother
• A survey of sequential Monte Carlo methods for economics and finance
• Smoothing with couplings of conditional particle filters
• On the two-filter approximations of marginal smoothing distributions in general state-space models
• Intraday data vs daily data to forecast volatility in financial markets
• Nonparametric particle filtering and smoothing with quasi-Monte Carlo sampling
• Variance estimation for sequential Monte Carlo algorithms: a backward sampling approach
• Deep parameterizations of pairwise and triplet Markov models for unsupervised classification of sequential data
• Backward Importance Sampling for Online Estimation of State Space Models
• On backward smoothing algorithms
• System identification of nonlinear state-space models
• Reversed particle filtering for hidden Markov models
• Sequential Monte Carlo smoothing for general state space hidden Markov models
• Particle efficient importance sampling
• Particle learning and smoothing
• Smoothing algorithms for state-space models

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