Particle-based, rapid incremental smoother meets particle Gibbs

DOI10.5705/SS.202020.0215MaRDI QIDQ6554555zbMATH OpenFDO

Authors Eric Moulines, Jimmy Olsson

Publication date 12 June 2024

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://doi.org/10.5705/SS.202020.0215

zbMATH Keywords

bias reductionparticle filtersparticle Gibbssequential Monte Carlosmoothing of additive functionalsstate space smoothing

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A pseudo-marginal sequential Monte Carlo online smoothing algorithm
• Bayesian filtering and smoothing
• Coupled conditional backward sampling particle filter
• Efficient particle-based online smoothing in general hidden Markov models: the PaRIS algorithm
• Filtering via Simulation: Auxiliary Particle Filters
• Markov Chains
• Particle approximations of the score and observed information matrix in state space models with application to parameter estimation
• Particle Filtering for Partially Observed Gaussian State Space Models
• Particle Gibbs with ancestor sampling
• Particle Markov Chain Monte Carlo Methods
• Recursive computation of smoothed functionals of hidden Markovian processes using a particle approximation
• Smoothing with couplings of conditional particle filters

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