Particle approximations of the score and observed information matrix in state space models with application to parameter estimation
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Publication:115657
DOI10.1093/biomet/asq062zbMath1214.62093OpenAlexW2010522529MaRDI QIDQ115657
A. Doucet, S. S. Singh, G. Poyiadjis, Arnaud Doucet, Sumeetpal S. Singh, George Poyiadjis
Publication date: 4 February 2011
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/d939849d62fc5014d6a6cda90f331e28d1bfc7bb
stochastic approximationparticle methodstate space modelobserved information matrixsequential Monte Carlo simulation
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Complexity and performance of numerical algorithms (65Y20)
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