Sequential Monte Carlo smoothing with application to parameter estimation in nonlinear state space models
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Publication:1002580
DOI10.3150/07-BEJ6150zbMath1155.62055arXivmath/0609514OpenAlexW2088311145MaRDI QIDQ1002580
Olivier Cappé, Jimmy Olsson, Randal Douc, Eric Moulines
Publication date: 2 March 2009
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0609514
EM algorithmexponential familystate space modelsparticle filterssequential Monte Carlo methodsstochastic volatility model
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Cites Work
- Forgetting the initial distribution for hidden Markov models
- Convergence of the Monte Carlo expectation maximization for curved exponential families.
- On ergodic filters with wrong initial data
- Inference in hidden Markov models.
- Sequential Monte Carlo Methods in Practice
- Filtering via Simulation: Auxiliary Particle Filters
- Monte Carlo Smoothing for Nonlinear Time Series
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