Asymptotic properties of particle filter-based maximum likelihood estimators for state space models

DOI10.1016/j.spa.2007.05.007zbMath1132.62064MaRDI QIDQ2476295

Tobias Rydén, Jimmy Olsson

Publication date: 18 March 2008

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2007.05.007

zbMATH Keywords

consistency; asymptotic normality; hidden Markov model; maximum likelihood; state space models; particle filter; sequential Monte Carlo methods

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

62F12: Asymptotic properties of parametric estimators

62M20: Inference from stochastic processes and prediction

62M09: Non-Markovian processes: estimation

62M05: Markov processes: estimation; hidden Markov models

65C40: Numerical analysis or methods applied to Markov chains

Related Items

Long-term stability of sequential Monte Carlo methods under verifiable conditions, Uniform time average consistency of Monte Carlo particle filters, Particle-based likelihood inference in partially observed diffusion processes using generalised Poisson estimators, The time machine: a simulation approach for stochastic trees

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