Particle approximations of the score and observed information matrix in state space models with application to parameter estimation

DOI10.1093/BIOMET/ASQ062zbMATH Open1214.62093OpenAlexW2010522529MaRDI QIDQ115657FDOQ115657

Arnaud Doucet, A. Doucet, S. S. Singh, G. Poyiadjis, 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

zbMATH Keywords

state space modelobserved information matrixparticle methodsequential Monte Carlo simulationstochastic approximation

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Complexity and performance of numerical algorithms (65Y20)

Cited In (67)

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• Properties of marginal sequential Monte Carlo methods
• Scalable Bayesian Multiple Changepoint Detection via Auxiliary Uniformisation
• Variance estimation for sequential Monte Carlo algorithms: a backward sampling approach
• Analysis of nonlinear state space model with dependent measurement noises
• Parameter estimation in general state-space models using particle methods
• On particle methods for parameter estimation in state-space models
• Uniform Stability of a Particle Approximation of the Optimal Filter Derivative
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• Augmented pseudo-marginal Metropolis-Hastings for partially observed diffusion processes
• A method for high-dimensional smoothing
• A comparison of inferential methods for highly nonlinear state space models in ecology and epidemiology
• Asymptotic analysis of model selection criteria for general hidden Markov models
• Analysis of single particle diffusion with transient binding using particle filtering
• Ergodicity and accuracy of optimal particle filters for Bayesian data assimilation
• Particle Metropolis-Hastings using gradient and Hessian information
• Sequential Bayesian inference for implicit hidden Markov models and current limitations
• Approximate Bayesian Computation for a Class of Time Series Models
• On-line changepoint detection and parameter estimation with application to genomic data
• Stability of optimal filter higher-order derivatives
• Stochastic quasi-Newton with line-search regularisation
• A rare event approach to high-dimensional approximate Bayesian computation
• Identification of MultiObject Dynamical Systems: Consistency and Fisher Information
• Fast and accurate variational inference for models with many latent variables
• Approximate Bayesian Computation for Smoothing
• Uniform convergence over time of a nested particle filtering scheme for recursive parameter estimation in state-space Markov models
• On the two-filter approximations of marginal smoothing distributions in general state-space models
• A dynamic fusion system for fast nuclear source detection and localization with mobile sensor networks
• Multilevel estimation of normalization constants using ensemble Kalman-Bucy filters
• Making inference of British household's happiness efficiency: a Bayesian latent model
• Joint parameter and state estimation based on marginal particle filter and particle swarm optimization
• Limits of Accuracy for Parameter Estimation and Localization in Single-Molecule Microscopy via Sequential Monte Carlo Methods
• Static-parameter estimation in piecewise deterministic processes using particle Gibbs samplers
• On the efficiency of pseudo-marginal random walk Metropolis algorithms
• Sequential parameter learning and filtering in structured autoregressive state-space models
• Statistical inference for dynamical systems: a review
• Specification tests based on MCMC output
• Accelerating inference for stochastic kinetic models
• Maximum likelihood recursive state estimation using the expectation maximization algorithm
• Bandwidth selection in pre-smoothed particle filters
• Sequential Bayesian inference for static parameters in dynamic state space models
• Calibrating the Gaussian multi-target tracking model
• Estimation of parameters in the state space model of stochastic RL electrical circuit
• A stable particle filter for a class of high-dimensional state-space models
• Path storage in the particle filter
• A Bayesian chi-squared test for hypothesis testing
• Score-Based Parameter Estimation for a Class of Continuous-Time State Space Models
• mssm
• Deviance information criterion for latent variable models and misspecified models
• Sequential Monte Carlo Methods for Option Pricing
• Particle-based online estimation of tangent filters with application to parameter estimation in nonlinear state-space models
• On coupling particle filter trajectories
• Asymptotic bias of stochastic gradient search
• Online Smoothing for Diffusion Processes Observed with Noise
• Parametric estimation of hidden stochastic model by contrast minimization and deconvolution
• Joint Online Parameter Estimation and Optimal Sensor Placement for the Partially Observed Stochastic Advection-Diffusion Equation
• Non-asymptotic deviation inequalities for smoothed additive functionals in nonlinear state-space models
• A second-order iterated smoothing algorithm
• Gradient free parameter estimation for hidden Markov models with intractable likelihoods
• Nested particle filters for online parameter estimation in discrete-time state-space Markov models
• A backward particle interpretation of Feynman-Kac formulae
• Unbiased estimation of the gradient of the log-likelihood for a class of continuous-time state-space models
• On the Behaviour of the Backward Interpretation of Feynman-Kac Formulae Under Verifiable Conditions

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