Computational aspects of sequential Monte Carlo filter and smoother

DOI10.1007/S10463-014-0446-0MaRDI QIDQ457255zbMATH OpenOpenAlexFDO

Authors Genshiro Kitagawa

Publication date 26 September 2014

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10463-014-0446-0

zbMATH Keywords

particle filterparallel computationGaussian-sum filternonlinear non-Gaussian state-space modelposterior mean smoothertwo-filter formula

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 5919872 (Why is no real title available?)
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• scientific article; zbMATH DE number 3403601 (Why is no real title available?)
• A sequential smoothing algorithm with linear computational cost
• Bayesian forecasting and dynamic models
• Filtering via Simulation: Auxiliary Particle Filters
• Introduction to time series modeling. Translated from the Japanese by the author
• Mersenne twister
• Monte carlo filter using the genetic algorithm operators
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Non-Gaussian seasonal adjustment
• Nonlinear Bayesian estimation using Gaussian sum approximations
• Sequential Monte Carlo Methods in Practice
• Smoothing algorithms for state-space models
• Smoothing estimation of stochastic processes: Two-filter formulas
• Smoothness priors analysis of time series
• The two-filter formula for smoothing and an implementation of the Gaussian-sum smoother
• Time series. Modeling, computation, and inference.

Cited in

(7)

• On particle methods for parameter estimation in state-space models
• Ensemble smoothers for inference of hidden states and parameters in combinatorial regulatory model
• Monte Carlo Smoothing for Nonlinear Time Series
• RMCMC: a system for updating Bayesian models
• The auxiliary iterated extended Kalman particle filter
• Recursive Monte Carlo filters: algorithms and theoretical analysis
• A pseudo-marginal sequential Monte Carlo online smoothing algorithm

Describes a project that uses

Uses Software

• MersenneTwister

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