On particle methods for parameter estimation in state-space models
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Publication:254462
DOI10.1214/14-STS511zbMath1332.62096arXiv1412.8695MaRDI QIDQ254462
Arnaud Doucet, Sumeetpal S. Singh, Nicolas Chopin, Nikolas Kantas, Jan M. Maciejowski
Publication date: 8 March 2016
Published in: Statistical Science (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1412.8695
state-space models; sequential Monte Carlo; Bayesian inference; maximum likelihood inference; particle filtering
62M20: Inference from stochastic processes and prediction
62F15: Bayesian inference
62M05: Markov processes: estimation; hidden Markov models
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