Theory of segmented particle filters

DOI10.1017/APR.2015.7zbMATH Open1338.65023OpenAlexW2296463696MaRDI QIDQ2806346FDOQ2806346

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

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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)

Cites Work

• Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
• Inference in hidden Markov models.
• Twisted particle filters
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• On parallel implementation of sequential Monte Carlo methods: the island particle model
• Limit theorems for weighted samples with applications to sequential Monte Carlo methods
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• Particle Markov chain Monte Carlo for efficient numerical simulation
• A sequential smoothing algorithm with linear computational cost
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• Recursive Monte Carlo filters: algorithms and theoretical analysis
• A general theory of particle filters in hidden Markov models and some applications
• Likelihood computation for hidden Markov models via generalized two-filter smoothing

Cited In (6)

• Stochastic gradient MCMC for state space models
• Divide-and-conquer Bayesian inference in hidden Markov 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

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