Smoothing algorithms for state-space models

DOI10.1007/s10463-009-0236-2zbMath1422.62297OpenAlexW2146485022MaRDI QIDQ904066

Arnaud Doucet, Mark Briers, Simon Maskell

Publication date: 15 January 2016

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-009-0236-2

zbMATH Keywords

parameter estimationstate-space modelssequential Monte Carlonon-linear diffusionRao-Blackwellisationtwo-filter smoothing

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Inference from spatial processes (62M30) Applications of statistics to biology and medical sciences; meta analysis (62P10) Diffusion processes (60J60)

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Cites Work

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