A second-order iterated smoothing algorithm

DOI10.1007/s11222-016-9711-9zbMath1384.62284OpenAlexW2530020213WikidataQ38634726 ScholiaQ38634726MaRDI QIDQ1703846

Dao Nguyen, Edward L. Ionides

Publication date: 7 March 2018

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: http://europepmc.org/articles/pmc5573285

zbMATH Keywords

parameter estimationhidden Markov modelsequential Monte Carlostate space modeliterated smoothing

Mathematics Subject Classification ID

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

Related Items (1)

is2

Uses Software

• pomp

Cites Work

• Particle approximations of the score and observed information matrix in state space models with application to parameter estimation
• Iterated filtering
• Sequential Monte Carlo smoothing with application to parameter estimation in nonlinear state space models
• Time series analysis via mechanistic models
• Stochastic approximation methods for constrained and unconstrained systems
• Inference for dynamic and latent variable models via iterated, perturbed Bayes maps
• Malaria in Northwest India: Data Analysis via Partially Observed Stochastic Differential Equation Models Driven by Lévy Noise
• Particle Markov Chain Monte Carlo for Efficient Numerical Simulation
• Introduction to Stochastic Search and Optimization
• Sequential Monte Carlo without likelihoods
• SMC2: An Efficient Algorithm for Sequential Analysis of State Space Models
• Particle Metropolis-Hastings using gradient and Hessian information

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