Nested particle filters for online parameter estimation in discrete-time state-space Markov models

DOI10.3150/17-BEJ954zbMath1414.62346arXiv1308.1883OpenAlexW2963672032MaRDI QIDQ1708992

Joaquín Míguez, Dan Crisan

Publication date: 27 March 2018

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1308.1883

zbMATH Keywords

parameter estimationMonte Carloerror boundsstate space modelsmodel inferencerecursive algorithmsparticle filtering

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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