Likelihood computation for hidden Markov models via generalized two-filter smoothing
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Publication:385121
DOI10.1016/J.SPL.2013.02.005zbMATH Open1417.62234OpenAlexW2963238530MaRDI QIDQ385121FDOQ385121
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
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
- Title not available (Why is that?)
- Inference in hidden Markov models.
- Particle Markov Chain Monte Carlo Methods
- 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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