A sequential smoothing algorithm with linear computational cost
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Publication:3585406
DOI10.1093/biomet/asq013zbMath1406.62093MaRDI QIDQ3585406
David Wyncoll, Paul Fearnhead, Jonathan A. Tawn
Publication date: 19 August 2010
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://eprints.lancs.ac.uk/id/eprint/8844/2/smoothing.pdf
extreme value theory; particle filtering; forward-backward algorithm; two-filter formula; particle smoothing
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F15: Bayesian inference
60G70: Extreme value theory; extremal stochastic processes
62L10: Sequential statistical analysis
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