Likelihood computation for hidden Markov models via generalized two-filter smoothing

DOI10.1016/J.SPL.2013.02.005zbMATH Open1417.62234OpenAlexW2963238530MaRDI QIDQ385121FDOQ385121

Authors: Adam Persing, Ajay Jasra 

Publication date: 29 November 2013

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

Full work available at URL: https://doi.org/10.1016/j.spl.2013.02.005

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zbMATH Keywords

sequential Monte Carlolikelihood estimationgeneralized two-filter smoothing

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes and prediction (62M20) Central limit and other weak theorems (60F05)

Cites Work

• Inference in hidden Markov models.
• Particle Markov Chain Monte Carlo Methods
• Title not available (Why is that?)
• A sequential smoothing algorithm with linear computational cost
• A backward particle interpretation of Feynman-Kac formulae
• Sequential Monte Carlo smoothing for general state space hidden Markov models
• A nonasymptotic theorem for unnormalized Feynman-Kac particle models
• Smoothing algorithms for state-space models
• Two-filter formulae for discrete-time non-linear bayesian smoothing
• Linear variance bounds for particle approximations of time-homogeneous Feynman-Kac formulae

Cited In (6)

• On Large Lag Smoothing for Hidden Markov Models
• Consistent Estimation of the Filtering and Marginal Smoothing Distributions in Nonparametric Hidden Markov Models
• Theory of segmented particle filters
• On the two-filter approximations of marginal smoothing distributions in general state-space models
• A correction to ``On approximation of smoothing probabilities for hidden Markov models
• Exact and approximate Bayesian inference for low integer-valued time series models with intractable likelihoods

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