On coupling particle filter trajectories
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Publication:1702025
DOI10.1007/s11222-017-9740-zzbMath1384.65006arXiv1606.01016OpenAlexW2963792438MaRDI QIDQ1702025
Ajay Jasra, Deborshee Sen, Alexandre H. Thiery
Publication date: 27 February 2018
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1606.01016
Computational methods in Markov chains (60J22) Inference from stochastic processes and prediction (62M20) Monte Carlo methods (65C05)
Related Items (12)
Multilevel Monte Carlo for Smoothing via Transport Methods ⋮ Advanced Multilevel Monte Carlo Methods ⋮ A Wasserstein coupled particle filter for multilevel estimation ⋮ A Seamless Multilevel Ensemble Transform Particle Filter ⋮ Multilevel Particle Filters ⋮ On backward smoothing algorithms ⋮ Multilevel particle filters: normalizing constant estimation ⋮ Bayesian Static Parameter Estimation for Partially Observed Diffusions via Multilevel Monte Carlo ⋮ Smoothing With Couplings of Conditional Particle Filters ⋮ Multilevel particle filters for Lévy-driven stochastic differential equations ⋮ Score-Based Parameter Estimation for a Class of Continuous-Time State Space Models ⋮ Central limit theorems for coupled particle filters
Uses Software
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