Sequential Bayesian inference for implicit hidden Markov models and current limitations

DOI10.1051/proc/201551002zbMath1348.60106arXiv1505.04321OpenAlexW2964170009MaRDI QIDQ2786524

Pierre E. Jacob

Publication date: 15 February 2016

Published in: ESAIM: Proceedings and Surveys (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.04321

zbMATH Keywords

time serieshidden Markov modelsBayesian inferencesequential Monte Carlo methods

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Monte Carlo methods (65C05) Discrete-time Markov processes on general state spaces (60J05)

Related Items (3)

Smoothing With Couplings of Conditional Particle Filters ⋮ Unnamed Item ⋮ Efficient \(\mathrm{SMC}^2\) schemes for stochastic kinetic models

Uses Software

• LibBi

Cites Work

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