Smoothing algorithms for state-space models

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

zbMATH Keywords

parameter estimation; state-space models; sequential Monte Carlo; non-linear diffusion; Rao-Blackwellisation; two-filter smoothing

Mathematics Subject Classification ID

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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