Another look at Bayes map iterated filtering

DOI10.1016/J.SPL.2016.05.013MaRDI QIDQ312073zbMATH OpenOpenAlexFDO

Authors Dao Nguyen

Publication date 13 September 2016

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2016.05.013

zbMATH Keywords

time serieshidden Markov modelstochastic approximationBayes mapiterated filtering

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes and prediction (62M20)

Recommendations

• Iterated filtering
• Inference for dynamic and latent variable models via iterated perturbed Bayes maps
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Cites work

• Inference for dynamic and latent variable models via iterated perturbed Bayes maps
• Iterated filtering
• Particle Markov Chain Monte Carlo Methods
• Time series analysis via mechanistic models

Cited in

(3)

• Iterated filtering
• Tuned iterated filtering
• Inference for dynamic and latent variable models via iterated perturbed Bayes maps

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