Two-filter formulae for discrete-time non-linear bayesian smoothing
From MaRDI portal
Publication:3713969
DOI10.1080/00207178608933489zbMath0586.93067MaRDI QIDQ3713969
Publication date: 1986
Published in: International Journal of Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207178608933489
62M20: Inference from stochastic processes and prediction
62C10: Bayesian problems; characterization of Bayes procedures
93E11: Filtering in stochastic control theory
93C10: Nonlinear systems in control theory
93C55: Discrete-time control/observation systems
60G35: Signal detection and filtering (aspects of stochastic processes)
93E14: Data smoothing in stochastic control theory
Related Items
On the two-filter approximations of marginal smoothing distributions in general state-space models, Likelihood computation for hidden Markov models via generalized two-filter smoothing, System identification of nonlinear state-space models, Smoothing algorithms for state-space models, Controlled sequential Monte Carlo
Cites Work
- Smoothing algorithms for nonlinear finite-dimensional systems
- Direct approach to two-filter smoothing formulas†
- A recursive algorithm for the Bayes solution of the smoothing problem
- Équations du filtrage non linéaire de la prédiction et du lissage
- Backwards Markovian models for second-order stochastic processes (Corresp.)