Iterated filtering

DOI10.1214/11-AOS886zbMath1220.62103arXiv0902.0347OpenAlexW3037681644WikidataQ57010955 ScholiaQ57010955MaRDI QIDQ638813

Juan-Miguel Gracia

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

zbMATH Keywords

importance samplingfilteringsequential Monte Carlostate space modeldynamic systemspartially observed Markov process

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05)

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