Autoregressive model with partial forgetting within Rao-Blackwellized particle filter

DOI10.1080/03610918.2011.598992MaRDI QIDQ4906439zbMATH OpenOpenAlexFDO

Authors Kamil Dedecius, Radek Hofman

Publication date 11 February 2013

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2011.598992

Mathematics Subject Classification ID

General nonlinear regression (62J02) Linear regression; mixed models (62J05) Sequential estimation (62L12)

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Cites work

• scientific article; zbMATH DE number 2061746 (Why is no real title available?)
• Approximate nonlinear filtering for piecewise linear systems
• Bayesian system identification
• Deterministic Nonperiodic Flow
• Nonlinear regulation: The piecewise linear approach
• On Information and Sufficiency
• On selecting models for nonlinear time series
• On the Chapman-Kolmogorov Equation
• Realisation and estimation of piecewise-linear output-error models
• Sequential Monte Carlo Methods in Practice

Cited in

(2)

• Rao-blackwellized sampling for batch and recursive Bayesian inference of piecewise affine models
• Sequential parameter estimation of time-varying non-Gaussian autoregressive processes

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