Theory of segmented particle filters

DOI10.1017/APR.2015.7MaRDI QIDQ2806346zbMATHOpenAlexFDO

Authors Hock Peng Chan, Chiang-Wee Heng, Ajay Jasra

Publication date 17 May 2016

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.aap/1457466156

zbMATH Keywords

sequential Monte Carloparticle filteralgorithmnumerical exampleparallel processingstandard error estimationestimation of hidden Markov models

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Inference from stochastic processes and prediction (62M20) Parallel numerical computation (65Y05)

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Cites work

• scientific article; zbMATH DE number 5919872 (Why is no real title available?)
• scientific article; zbMATH DE number 4060392 (Why is no real title available?)
• scientific article; zbMATH DE number 4062374 (Why is no real title available?)
• scientific article; zbMATH DE number 2106098 (Why is no real title available?)
• A general theory of particle filters in hidden Markov models and some applications
• A sequential smoothing algorithm with linear computational cost
• Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
• Inference in hidden Markov models.
• Likelihood computation for hidden Markov models via generalized two-filter smoothing
• Limit theorems for weighted samples with applications to sequential Monte Carlo methods
• On parallel implementation of sequential Monte Carlo methods: the island particle model
• Particle Markov chain Monte Carlo for efficient numerical simulation
• Recursive Monte Carlo filters: algorithms and theoretical analysis
• Twisted particle filters

Cited in

(6)

• Stochastic gradient MCMC for state space models
• Twisted particle filters
• A general theory of particle filters in hidden Markov models and some applications
• Biased online parameter inference for state-space models
• Particle filtering for continuous-time hidden Markov models
• Divide-and-conquer Bayesian inference in hidden Markov models

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