Estimating mixed-effects state-space models via particle filters and the EM algorithm

DOI10.1080/00949655.2024.2337339MaRDI QIDQ6967673zbMATH OpenFDO

Authors Fayçal Hamdi

Publication date 26 June 2025

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2024.2337339

Mathematics Subject Classification ID

Statistics (62-XX) Sequential estimation (62L12) Monte Carlo methods (65C05) Stochastic particle methods (65C35)

Cites work

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• On periodic autoregressive stochastic volatility models: structure and estimation
• On the asymmetry in the volatility of financial time series: a buffered transition approach
• Particle learning and smoothing
• Population HIV‐1 Dynamics In Vivo: Applicable Models and Inferential Tools for Virological Data from AIDS Clinical Trials
• Random-Effects Models for Longitudinal Data

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