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

Gaussian-sum filternonlinear non-Gaussian state-space modelparallel computationparticle filterposterior mean smoothertwo-filter formula

Mathematics Subject Classification ID

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

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Cites work

• A sequential smoothing algorithm with linear computational cost
• Bayesian forecasting and dynamic models
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• scientific article; zbMATH DE number 5919872 (Why is no real title available?)
• scientific article; zbMATH DE number 44406 (Why is no real title available?)
• scientific article; zbMATH DE number 3545060 (Why is no real title available?)
• scientific article; zbMATH DE number 3403601 (Why is no real title available?)
• Introduction to time series modeling. Translated from the Japanese by the author
• Mersenne twister
• Monte carlo filter using the genetic algorithm operators
• Non-Gaussian seasonal adjustment
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• 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)

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

Describes a project that uses

Uses Software

• MersenneTwister

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