Parallel square-root statistical linear regression for inference in nonlinear state space models

DOI10.1137/23M156121XMaRDI QIDQ7000280zbMATH OpenFDO

Authors Fatemeh Yaghoobi, Adrien Corenflos, Sakira Hassan, Simo Särkkä

Publication date 8 April 2025

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1137/23M156121X

zbMATH Keywords

iterated Kalman smoothingparallel scanparameter estimationrobust inferencesigma-point and extended linearization

Mathematics Subject Classification ID

Bayesian inference (62F15) Linear regression; mixed models (62J05) Inference from stochastic processes and prediction (62M20) Parallel numerical computation (65Y05) Filtering in stochastic control theory (93E11)

Cites work

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• Temporal Parallelization of Inference in Hidden Markov Models
• The Iterated Kalman Smoother as a Gauss–Newton Method
• Unscented Rauch--Tung--Striebel Smoother

Cited in

(1)

• Auxiliary MCMC samplers for parallelisable inference in high-dimensional latent dynamical systems

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