Comparison of simulation-based algorithms for parameter estimation and state reconstruction in nonlinear state-space models

DOI10.3934/DCDSS.2022054MaRDI QIDQ6160660zbMATH OpenOpenAlexFDO

Authors Thi Tuyet Trang Chau, Pierre Ailliot, Valérie Monbet, Pierre Tandeo

Publication date 26 June 2023

Published in Discrete and Continuous Dynamical Systems. Series S (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/dcdss.2022054

zbMATH Keywords

nonlinear modelsstatistical inferenceEM algorithmsbackward simulationconditional particle filtering

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Point estimation (62F10) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05)

Recommendations

• Parameter estimation in general state-space models using particle methods
• On particle methods for parameter estimation in state-space models
• Joint parameter and state estimation based on marginal particle filter and particle swarm optimization
• Estimation of unknown parameters in nonlinear and non-Gaussian state-space models
• scientific article; zbMATH DE number 6431348

Cites work

• scientific article; zbMATH DE number 5919872 (Why is no real title available?)
• scientific article; zbMATH DE number 3980305 (Why is no real title available?)
• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• Backward simulation methods for Monte Carlo statistical inference
• Bayesian time series models
• Convergence of a stochastic approximation version of the EM algorithm
• Coupling a stochastic approximation version of EM with an MCMC procedure
• Deterministic Nonperiodic Flow
• Large sample asymptotics for the ensemble Kalman filter
• Monte Carlo EM Estimation for Time Series Models Involving Counts
• Monte Carlo Smoothing for Nonlinear Time Series
• On particle Gibbs sampling
• On particle methods for parameter estimation in state-space models
• On the optimal and suboptimal nonlinear filtering problem for discrete-time systems
• Particle Gibbs with ancestor sampling
• Particle Markov Chain Monte Carlo Methods
• Sequential Monte Carlo Methods in Practice
• Sequential Monte Carlo smoothing with application to parameter estimation in nonlinear state space models
• System identification of nonlinear state-space models
• The EM Algorithm and Extensions, 2E
• Time series analysis by state space methods.

Cited in

(5)

• An algorithm for non-parametric estimation in state-space models
• A Simulation-based Comparison Between Parametric and Nonparametric Estimation Methods in PBPK Models
• Joint parameter and state estimation based on marginal particle filter and particle swarm optimization
• Simultaneous estimation and modeling of nonlinear, non-Gaussian state-space systems
• Parameter estimation of optimal control problems based on game theory and tracking method

This page was built for publication: Comparison of simulation-based algorithms for parameter estimation and state reconstruction in nonlinear state-space models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6160660)