Recursive Monte Carlo filters: algorithms and theoretical analysis

DOI10.1214/009053605000000426zbMath1086.62106arXivmath/0602211OpenAlexW3098843478MaRDI QIDQ2368844

Hans R. Künsch

Publication date: 28 April 2006

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0602211

zbMATH Keywords

smoothingfilteringcentral limit theoremhidden Markov modelsstate space modelsauxiliary variablessampling importance resampling

Mathematics Subject Classification ID

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Cites Work

• Exponential stability for nonlinear filtering
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• DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
• Sequential Monte Carlo Methods for Dynamic Systems
• Filtering via Simulation: Auxiliary Particle Filters
• Minimal Entropy Approximations and Optimal Algorithms
• Monte Carlo Smoothing for Nonlinear Time Series
• On the stability of interacting processes with applications to filtering and genetic algorithms
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