Particle Filtering for Partially Observed Gaussian State Space Models

DOI10.1111/1467-9868.00363zbMath1067.62098OpenAlexW2102430842MaRDI QIDQ4672164

Arnaud Doucet, Christophe Andrieu

Publication date: 29 April 2005

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9868.00363

zbMATH Keywords

importance samplingfilteringstate space modelgeneralized linear time seriessequential Monte Carlo sampling

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Bayesian inference (62F15) Sequential statistical analysis (62L10)

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Cites Work

• Bayesian forecasting and dynamic models.
• Following a Moving Target—Monte Carlo Inference for Dynamic Bayesian Models
• Sequential Monte Carlo Methods in Practice
• Conditional Prior Proposals in Dynamic Models
• Mixture Kalman Filters

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