De-biasing particle filtering for a continuous time hidden Markov model with a Cox process observation model

DOI10.5705/SS.202022.0210MaRDI QIDQ6554562zbMATH OpenFDO

Authors Ruiyang Jin, Sumeetpal S. Singh, Nicolas Chopin

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.202022.0210

zbMATH Keywords

continuous-timeCox processdiffusionshidden Markov modelparticle filterpath integralPoisson estimatesequential Monte Carlo

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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• Particle Filters for Partially Observed Diffusions
• Particle Markov Chain Monte Carlo Methods
• Random-Weight Particle Filtering of Continuous Time Processes
• Unbiased multi-step estimators for the Monte Carlo evaluation of certain functional integrals

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