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

DOI10.3934/dcdss.2022054zbMath1514.62006OpenAlexW4226119084MaRDI QIDQ6160660

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

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• On the optimal and suboptimal nonlinear filtering problem for discrete-time systems
• Deterministic Nonperiodic Flow
• Particle Markov Chain Monte Carlo Methods
• Coupling a stochastic approximation version of EM with an MCMC procedure
• Monte Carlo EM Estimation for Time Series Models Involving Counts
• Monte Carlo Smoothing for Nonlinear Time Series
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