Bayesian Conditional Monte Carlo Algorithms for Nonlinear Time-Series State Estimation

DOI10.1109/TSP.2015.2423251MaRDI QIDQ4580670zbMATH OpenOpenAlexFDO

Authors Yohan Petetin, François Desbouvries

Publication date 22 August 2018

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tsp.2015.2423251

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited in

(3)

• Bayesian inference in nonparametric dynamic state-space models
• Approximate Bayesian inference for discretely observed continuous‐time multi‐state models
• Markov chain Monte Carlo estimation of nonlinear dynamics from time series

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