SMC2: An Efficient Algorithm for Sequential Analysis of State Space Models
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Publication:5743158
DOI10.1111/j.1467-9868.2012.01046.xzbMath1411.62242arXiv1101.1528OpenAlexW1876120984MaRDI QIDQ5743158
Pierre E. Jacob, Nicolas Chopin, Omiros Papaspiliopoulos
Publication date: 9 May 2019
Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1101.1528
state space modelsparticle filteringsequential Monte Carlo samplingiterated batch importance samplingparticle Markov chain Monte Carlo methods
Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Sequential statistical analysis (62L10)
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