A method for high-dimensional smoothing

DOI10.1016/j.jkss.2018.08.004zbMath1415.62070OpenAlexW2891721757MaRDI QIDQ1726162

Yaxian Xu, Ajay Jasra

Publication date: 19 February 2019

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2018.08.004

zbMATH Keywords

smoothingsequential Monte Carloparameter inferencehigh dimensionsforward smoothing

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

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