Computational aspects of sequential Monte Carlo filter and smoother

DOI10.1007/S10463-014-0446-0zbMATH Open1334.65025OpenAlexW2097627707MaRDI QIDQ457255FDOQ457255

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

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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)

Cites Work

• Mersenne twister
• Sequential Monte Carlo Methods in Practice
• Bayesian forecasting and dynamic models
• Title not available (Why is that?)
• Filtering via Simulation: Auxiliary Particle Filters
• Smoothness priors analysis of time series
• A sequential smoothing algorithm with linear computational cost
• Nonlinear Bayesian estimation using Gaussian sum approximations
• Smoothing algorithms for state-space models
• Title not available (Why is that?)
• Title not available (Why is that?)
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Title not available (Why is that?)
• Time series. Modeling, computation, and inference.
• Non-Gaussian seasonal adjustment
• The two-filter formula for smoothing and an implementation of the Gaussian-sum smoother
• Introduction to time series modeling. Translated from the Japanese by the author
• Smoothing estimation of stochastic processes: Two-filter formulas
• Monte carlo filter using the genetic algorithm operators

Cited In (7)

• On particle methods for parameter estimation in state-space models
• Monte Carlo Smoothing for Nonlinear Time Series
• Ensemble smoothers for inference of hidden states and parameters in combinatorial regulatory model
• 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

Uses Software

• MersenneTwister

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