Particle smoothing via Markov chain Monte Carlo in general state space models (Q2224274)
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scientific article; zbMATH DE number 7305533
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| English | Particle smoothing via Markov chain Monte Carlo in general state space models |
scientific article; zbMATH DE number 7305533 |
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Particle smoothing via Markov chain Monte Carlo in general state space models (English)
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3 February 2021
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Summary: Sequential Monte Carlo (SMC) methods (also known as particle filter) provide a way to solve the state estimation problem in nonlinear non-Gaussian state space models (SSM) through numerical approximation. Particle smoothing is one retrospective state estimation method based on particle filtering. In this paper, we propose a new particle smoother. The basic idea is easy and leads to a forward-backward procedure, where the Metropolis-Hastings algorithm is used to resample the filtering particles. The goodness of the new scheme is assessed using a nonlinear SSM. It is concluded that this new particle smoother is suitable for state estimation in complicated dynamical systems.
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sequential Monte Carlo (SMC)
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particle filter
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forward filtering-backward smoothing
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Metropolis-Hastings
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0.8723814487457275
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0.847507894039154
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0.8451217412948608
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0.8339502811431885
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