Nonlinear and nonnormal filters using Monte Carlo methods

DOI10.1016/S0167-9473(97)00016-9zbMath0900.62496OpenAlexW2008594220MaRDI QIDQ1390884

Hisashi Tanizaki

Publication date: 22 July 1998

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-9473(97)00016-9

zbMATH Keywords

Monte Carlo simulationsMonte Carlo integrationSmoothingFilteringPredictionNumerical integration

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Probabilistic methods, stochastic differential equations (65C99)

Related Items (2)

Monte Carlo filters for non-linear state estimation ⋮ On markov chain monte carlo methods for nonlinear and non-gaussian state-space models

Uses Software

• Fahrmeir

Cites Work

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