Nonlinear and non-Gaussian state space modeling using sampling techniques

DOI10.1023/A:1017916420893MaRDI QIDQ5960136zbMATH OpenOpenAlexFDO

Authors Hisashi Tanizaki

Publication date 11 April 2002

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1017916420893

zbMATH Keywords

filteringimportance resamplingjoint densityMetropolis-Hastings independence samplingrejection samplingsmoothing

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Monte Carlo methods (65C05)

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