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

DOI10.3934/DCDSS.2022054zbMATH Open1514.62006OpenAlexW4226119084MaRDI QIDQ6160660FDOQ6160660

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

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)

Cites Work

• System identification of nonlinear state-space models
• Sequential Monte Carlo Methods in Practice
• Title not available (Why is that?)
• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• Bayesian time series models
• Title not available (Why is that?)
• The EM Algorithm and Extensions, 2E
• Particle Markov Chain Monte Carlo Methods
• Convergence of a stochastic approximation version of the EM algorithm
• Deterministic Nonperiodic Flow
• Sequential Monte Carlo smoothing with application to parameter estimation in nonlinear state space models
• On particle methods for parameter estimation in state-space models
• Title not available (Why is that?)
• Monte Carlo Smoothing for Nonlinear Time Series
• Time series analysis by state space methods.
• Monte Carlo EM Estimation for Time Series Models Involving Counts
• Backward simulation methods for Monte Carlo statistical inference
• On particle Gibbs sampling
• Title not available (Why is that?)
• Coupling a stochastic approximation version of EM with an MCMC procedure
• Title not available (Why is that?)
• On the optimal and suboptimal nonlinear filtering problem for discrete-time systems

Cited In (1)

• A Simulation-based Comparison Between Parametric and Nonparametric Estimation Methods in PBPK Models

   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 👍 👎
• Title not available (Why is that?) 👍 👎

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)