Smoothing algorithms for state-space models
From MaRDI portal
Publication:904066
DOI10.1007/s10463-009-0236-2zbMath1422.62297MaRDI 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
parameter estimation; state-space models; sequential Monte Carlo; non-linear diffusion; Rao-Blackwellisation; two-filter smoothing
62M20: Inference from stochastic processes and prediction
62M30: Inference from spatial processes
62P10: Applications of statistics to biology and medical sciences; meta analysis
60J60: Diffusion processes
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