Iterated filtering
From MaRDI portal
Publication:638813
DOI10.1214/11-AOS886zbMath1220.62103arXiv0902.0347WikidataQ57010955 ScholiaQ57010955MaRDI QIDQ638813
Publication date: 14 September 2011
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0902.0347
importance sampling; filtering; sequential Monte Carlo; state space model; dynamic systems; partially observed Markov process
62M20: Inference from stochastic processes and prediction
62M09: Non-Markovian processes: estimation
62M05: Markov processes: estimation; hidden Markov models
65C05: Monte Carlo methods