Autoregressive model with partial forgetting within Rao-Blackwellized particle filter

DOI10.1080/03610918.2011.598992zbMATH Open1294.62177OpenAlexW2068541360MaRDI QIDQ4906439FDOQ4906439

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

Recommendations

• scientific article; zbMATH DE number 4145818
• Sequential parameter estimation of time-varying non-Gaussian autoregressive processes
• Filtering discrete time nonlinear systems with unknown parameters: a nonparametric approach.
• scientific article; zbMATH DE number 19126
• Particle filtering approximations for a Gaussian-generalized inverse Gaussian model

Mathematics Subject Classification ID

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

Cites Work

• Sequential Monte Carlo Methods in Practice
• On Information and Sufficiency
• Bayesian system identification
• Deterministic Nonperiodic Flow
• Nonlinear regulation: The piecewise linear approach
• Title not available (Why is that?)
• On selecting models for nonlinear time series
• Realisation and estimation of piecewise-linear output-error models
• Approximate nonlinear filtering for piecewise linear systems
• On the Chapman-Kolmogorov Equation

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

This page was built for publication: Autoregressive model with partial forgetting within Rao-Blackwellized particle filter

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4906439)