Optimal estimation and Cramér-Rao bounds for partial non-Gaussian state space models

DOI10.1023/A:1017920621802zbMath0995.62072MaRDI QIDQ5960138

Arnaud Doucet, Niclas Bergman, Neil A. Gordon

Publication date: 11 April 2002

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

optimal estimation; posterior Cramer-Rao bounds; sequential Monte Carlo methods

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F15: Bayesian inference

65C05: Monte Carlo methods

62L12: Sequential estimation