A pseudo-marginal sequential Monte Carlo online smoothing algorithm
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Publication:2676934
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Cites work
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- An introduction to sequential Monte Carlo
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- Approximate Bayesian computational methods
- Bayesian filtering and smoothing
- Bayesian Non-Parametric Hidden Markov Models with Applications in Genomics
- Efficient particle-based online smoothing in general hidden Markov models: the PaRIS algorithm
- Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
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- scientific article; zbMATH DE number 2106098 (Why is no real title available?)
- Inference in hidden Markov models.
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- Parameter estimation and asymptotic stability in stochastic filtering
- Particle Filters for Partially Observed Diffusions
- Particle-based likelihood inference in partially observed diffusion processes using generalised Poisson estimators
- Particle-based online estimation of tangent filters with application to parameter estimation in nonlinear state-space models
- Random-Weight Particle Filtering of Continuous Time Processes
- Sequential Monte Carlo smoothing for general state space hidden Markov models
- Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters
- The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
- The Monte-Carlo method for filtering with discrete-time observations
- The pseudo-marginal approach for efficient Monte Carlo computations
Cited in
(6)- Online monitoring with local smoothing methods and adaptive ridging
- Adapting the Number of Particles in Sequential Monte Carlo Methods Through an Online Scheme for Convergence Assessment
- Variance estimation for sequential Monte Carlo algorithms: a backward sampling approach
- Backward Importance Sampling for Online Estimation of State Space Models
- On backward smoothing algorithms
- Particle-based, rapid incremental smoother meets particle Gibbs
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