Fast smoothing in switching approximations of non-linear and non-Gaussian models

DOI10.1016/j.csda.2017.04.007zbMath1464.62084OpenAlexW2606250730MaRDI QIDQ1658350

Ivan Gorynin, Stéphane Derrode, Wojciech Pieczynski, Emmanuel Monfrini

Publication date: 14 August 2018

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

Full work available at URL: https://doi.org/10.1016/j.csda.2017.04.007

zbMATH Keywords

stochastic volatilityconditionally Gaussian linear state-space modelsconditionally Markov switching hidden linear modelsoptimal statistical smoothersmoothing in nonlinear systems

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Related Items

Accurate and fast parameter identification of conditionally Gaussian Markov jump linear system with input control

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