Monte Carlo Smoothing for Nonlinear Time Series

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Sequential Monte Carlo smoothing with application to parameter estimation in nonlinear state space models
Sequential Monte Carlo smoothing with parameter estimation
Fast smoothing in switching approximations of non-linear and non-Gaussian models
A method for high-dimensional smoothing
A Bayesian semiparametric approach to stochastic frontiers and productivity
Filtering and estimation for a class of stochastic volatility models with intractable likelihoods
Bayesian emulation for multi-step optimization in decision problems
Time-varying noise estimation for speech enhancement and recognition using sequential Monte Carlo method
Ensemble smoothers for inference of hidden states and parameters in combinatorial regulatory model
Spatiotemporal blocking of the bouncy particle sampler for efficient inference in state-space models
Deep state-space Gaussian processes
Management and takeover decisions
Variational system identification for nonlinear state-space models
On a model of environmental performance and technology gaps
A flexible particle Markov chain Monte Carlo method
Particle smoothing via Markov chain Monte Carlo in general state space models
Quantifying simulator discrepancy in discrete-time dynamical simulators
On some extensions of the sequential Monte Carlo methods in high-order hidden Markov models
Estimation of affine term structure models with spanned or unspanned stochastic volatility
Approximate posterior distributions for convolutional two-level hidden Markov models
Recursive Monte Carlo filters: algorithms and theoretical analysis
Efficient inference for nonlinear state space models: an automatic sample size selection rule
Non-asymptotic deviation inequalities for smoothed additive functionals in nonlinear state-space models
Marginal likelihood for Markov-switching and change-point GARCH models
Lookahead strategies for sequential Monte Carlo
On particle methods for parameter estimation in state-space models
Accelerated Monte Carlo for optimal estimation of time series
Bayesian analysis of traffic flow on interstate I-55: the LWR model
Convex non-parametric least squares, causal structures and productivity
Markov chain Monte Carlo based adaptive Rauch-Tung-Striebel smoother
A pseudo-marginal sequential Monte Carlo online smoothing algorithm
Recursive computation of smoothed functionals of hidden Markovian processes using a particle approximation
On the behaviour of the backward interpretation of Feynman-Kac formulae under verifiable conditions
Uniform ergodicity of the particle Gibbs sampler
Particle filters and Bayesian inference in financial econometrics
Efficient Markov chain Monte Carlo methods for decoding neural spike trains
On-line learning for the infinite hidden Markov model
Bandwidth selection in pre-smoothed particle filters
Fitting Stochastic Volatility Models in the Presence of Irregular Sampling via Particle Methods and the EM Algorithm
Monte carlo filter using the genetic algorithm operators
A simple and efficient simulation smoother for state space time series analysis
Approximate forward-backward algorithm for a switching linear Gaussian model
Monte Carlo Kalman filter and smoothing for multivariate discrete state space models
A hidden absorbing semi-Markov model for informatively censored temporal data: learning and inference
Computational aspects of sequential Monte Carlo filter and smoother
Inference via low-dimensional couplings
Filtering and Smoothing Via Estimating Functions
scientific article; zbMATH DE number 775743 (Why is no real title available?)
The simulation smoother for time series models
A backward particle interpretation of Feynman-Kac formulae
State-space models for count time series with excess zeros
Advertising Cycling to Manage Exclusivity Loss in Fashion Styles
Limits of accuracy for parameter estimation and localization in single-molecule microscopy via sequential Monte Carlo methods
A survey of sequential Monte Carlo methods for economics and finance
Parameter-driven state-space model for integer-valued time series with application
Smoothing with couplings of conditional particle filters
A new look at state-space models for neural data
Inferring synaptic inputs given a noisy voltage trace via sequential Monte Carlo methods
Bias correction through filtering omitted variables and instruments
Nonlinear state-space system identification with robust Laplace model
scientific article; zbMATH DE number 7148143 (Why is no real title available?)
Ensemble Transform Algorithms for Nonlinear Smoothing Problems
On the two-filter approximations of marginal smoothing distributions in general state-space models
Approximate methods for state-space models
Particle smoother for nonlinear systems with one-step randomly delayed measurements
Statistical inference for oscillation processes
Nonparametric particle filtering and smoothing with quasi-Monte Carlo sampling
Approximate Bayesian Computation for Smoothing
Shape-constrained semiparametric additive stochastic volatility models
Maximum a posteriori sequence estimation using Monte Carlo particle filters
Posterior inference on parameters of stochastic differential equations via non-linear Gaussian filtering and adaptive MCMC
Data assimilation for large‐scale spatio‐temporal systems using a location particle smoother
A statistical overview and perspectives on data assimilation for marine biogeochemical models
Variance estimation for sequential Monte Carlo algorithms: a backward sampling approach
Comparison of simulation-based algorithms for parameter estimation and state reconstruction in nonlinear state-space models
On backward smoothing algorithms
Bellman filtering and smoothing for state-space models
\(L^{1}\)-convergence of smoothing densities in non-parametric state space models
System identification of nonlinear state-space models
A Bayesian approach for inferring neuronal connectivity from calcium fluorescent imaging data
Rao-Blackwellized particle smoothing for mixed linear/nonlinear state-space model with asynchronously dependent noise processes
Resampling strategy in sequential Monte Carlo for constrained sampling problems
Reversed particle filtering for hidden Markov models
Comparison of sampling schemes for dynamic linear models
Sequential Monte Carlo smoothing for general state space hidden Markov models
State space emulation and annealed sequential Monte Carlo for high dimensional optimization
Learning dynamical systems with particle stochastic approximation EM
Influence network reconstruction from discrete time-series of count data modelled by multidimensional Hawkes processes
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'
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