Smoothing algorithms for state-space models

DOI10.1007/S10463-009-0236-2zbMATH Open1422.62297OpenAlexW2146485022MaRDI QIDQ904066FDOQ904066

Authors: Mark Briers, Arnaud Doucet, 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

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zbMATH Keywords

parameter estimationsequential Monte Carlostate-space modelsnon-linear diffusionRao-Blackwellisationtwo-filter smoothing

Mathematics Subject Classification ID

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

Cites Work

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• Simulation-based methods for blind maximum-likelihood filter identification
• Particle Filtering for Partially Observed Gaussian State Space Models
• The scan sampler for time series models
• Fixed-interval smoothing for Markovian switching systems

Cited In (54)

• An improved adaptive FastSLAM algorithm with time-varying noise estimator
• State space emulation and annealed sequential Monte Carlo for high dimensional optimization
• Smoothing and Interpolation with the State-Space Model
• On particle methods for parameter estimation in state-space models
• A method for high-dimensional smoothing
• Particle filters
• Computational aspects of sequential Monte Carlo filter and smoother
• Stochastic gradient MCMC for state space models
• Monte Carlo Smoothing for Nonlinear Time Series
• Sequential Monte Carlo smoothing for general state space hidden Markov models
• Filtering via approximate Bayesian computation
• Reversed particle filtering for hidden Markov models
• Particle learning and smoothing
• Smoothing algorithms for state-space models
• Approximate Bayesian Computation for a Class of Time Series Models
• Statistical algorithms for models in state space using SsfPack 2.2
• STABLE ALGORITHMS FOR THE STATE SPACE MODEL
• Direct, prediction- and smoothing-based Kalman and particle filter algorithms
• A tutorial on variational Bayes for latent linear stochastic time-series models
• A new smoothing algorithm for jump Markov linear systems
• Generalized Kalman smoothing: modeling and algorithms
• Continuous-discrete smoothing of diffusions
• Adaptive importance sampling for control and inference
• Smoothing and filtering with a class of outer measures
• Controlled sequential Monte Carlo
• Approximate Bayesian Computation for Smoothing
• Efficient particle smoothing for Bayesian inference in dynamic survival models
• Nonparametric multi-step prediction in nonlinear state space dynamic systems
• On the two-filter approximations of marginal smoothing distributions in general state-space models
• Direct approach to two-filter smoothing formulas†
• A tutorial on particle filters
• Optimal smoothing of nonlinear dynamic systems via Monte Carlo Markov chains
• Backward Importance Sampling for Online Estimation of State Space Models
• On backward smoothing algorithms
• FILTERING AND SMOOTHING IN STATE SPACE MODELS WITH PARTIALLY DIFFUSE INITIAL CONDITIONS
• Sequential Monte Carlo smoothing with parameter estimation
• Dynamic filtering of static dipoles in magnetoencephalography
• Simple conditions for convergence of sequential Monte Carlo genealogies with applications
• Fast smoothing in switching approximations of non-linear and non-Gaussian models
• Filtering and smoothing algorithms for state space models
• System identification of nonlinear state-space models
• Particle filters and Bayesian inference in financial econometrics
• Spatiotemporal blocking of the bouncy particle sampler for efficient inference in state-space models
• Lookahead strategies for sequential Monte Carlo
• Minimax FIR smoothers for deterministic continuous-time state space models
• Four encounters with system identification
• The two-filter formula for smoothing and an implementation of the Gaussian-sum smoother
• A Recursive Recomputation Approach for Smoothing in Nonlinear State–Space Modeling: An Attempt for Reducing Space Complexity
• A survey of sequential Monte Carlo methods for economics and finance
• Non-linear state smoothing for discrete dynamic systems with past histories
• Model error estimation using the expectation maximization algorithm and a particle flow filter
• Non-asymptotic deviation inequalities for smoothed additive functionals in nonlinear state-space models
• Smoothing with couplings of conditional particle filters
• Likelihood computation for hidden Markov models via generalized two-filter smoothing

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