Sequential Monte Carlo smoothing for general state space hidden Markov models

DOI10.1214/10-AAP735zbMath1237.60026arXiv1202.2945OpenAlexW1965828084MaRDI QIDQ657691

Randal Douc, Jimmy Olsson, Aurélien Garivier, Eric Moulines

Publication date: 10 January 2012

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1202.2945

zbMATH Keywords

smoothinghidden Markov modelsparticle filtersequential Monte Carlo methods

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Self-similar stochastic processes (60G18)

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