Recursive computation of smoothed functionals of hidden Markovian processes using a particle approximation

DOI10.1515/MCMA.2001.7.1-2.81MaRDI QIDQ2724982zbMATH OpenOpenAlexFDO

Authors Olivier Cappé

Publication date 12 July 2001

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/mcma.2001.7.1-2.81

zbMATH Keywords

expectation-maximizationfinancehidden Markov modelsmaximum likelihoodparameter estimationparticle filteringsequential Monte Carlosignal processingstate space modelswitching autoregressiontelecommunications

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Stochastic particle methods (65C35)

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Cited in

(8)

• Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime
• Recursive smoothers for hidden discrete-time Markov chains
• Hidden Markov models training by a particle swarm optimization algorithm
• Hidden Markov Models Training Using Population-based Metaheuristics
• Likelihood computation for hidden Markov models via generalized two-filter smoothing
• Efficient particle-based online smoothing in general hidden Markov models: the PaRIS algorithm
• Data-Recursive Smoother Formulae for Partially Observed Discrete-Time Markov Chains
• Particle-based, rapid incremental smoother meets particle Gibbs

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