High-Dimensional Filtering Using Nested Sequential Monte Carlo

DOI10.1109/TSP.2019.2926035MaRDI QIDQ5238967zbMATH OpenOpenAlexWikidataFDO

Authors Christian A. Naesseth, Fredrik Lindsten, Thomas B. Schön

Publication date 28 October 2019

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

Full work available at URL https://arxiv.org/abs/1612.09162

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited in

(21)

• Stochastic filtering methods in electronic trading
• Bayesian high-dimensional screening via MCMC
• scientific article; zbMATH DE number 6453379 (Why is no real title available?)
• Sequential estimation of temporally evolving latent space network models
• Particle rolling MCMC with double-block sampling
• A divide and conquer sequential Monte Carlo approach to high dimensional filtering
• Nested smoothing algorithms for inference and tracking of heterogeneous multi-scale state-space systems
• Storvik, Palomares, Engebretsen, Rø, Engø-Monsen, Kristoffersen, De Blasio and Frigessi's reply to the discussion of `The second discussion meeting on statistical aspects of the COVID-19 pandemic'
• Bhatt, Ferguson, Flaxman, Gandy, Mishra, and Scott's reply to the discussion of `The second discussion meeting on statistical aspects of the COVID-19 pandemic'
• Jorge Mateu and Álvaro Briz-Redón's contribution to the discussion of `The second discussion meeting on statistical aspects of the COVID-19 pandemic'
• Andrew B. Lawson's contribution to the discussion of `The second discussion meeting on statistical aspects of the COVID-19 pandemic'
• Hans R. Künsch and Fabio Sigrist's contribution to the discussion of `The second discussion meeting on statistical aspects of the COVID-19 pandemic'
• Sawitree Boonpatcharanon, Jane Heffernan and Hanna Jankowski's contribution to the discussion of `The second discussion meeting on statistical aspects of the COVID-19 pandemic'
• Heejong Bong, Valerie Ventura and Larry Wasserman's contribution to the discussion of `The second discussion meeting on statistical aspects of the COVID-19 pandemic'
• Alice Corbella, Anne M. Presanis, Paul J. Birrell and Daniela de Angelis's contribution to the discussion of `The second discussion meeting on statistical aspects of the COVID-19 pandemic'
• Sanmitra Ghosh's contribution to the discussion of `The second discussion meeting on statistical aspects of the COVID-19 pandemic'
• Paul J. Birrell, Angelos Alexopoulos and Daniela de Angelis's contribution to the discussion of `The second discussion meeting on statistical aspects of the COVID-19 pandemic'
• Arun Chind's contribution to the discussion of `The second discussion meeting on statistical aspects of the COVID-19 pandemic'
• Seconder of the vote of thanks and contribution to the discussion of `The second discussion meeting on statistical aspects of the COVID-19 pandemic'
• Proposer of the vote of thanks and contribution to the discussion of `The second discussion meeting on statistical aspects of the COVID-19 pandemic'
• Semi-mechanistic Bayesian modelling of COVID-19 with renewal processes

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