On particle methods for parameter estimation in state-space models

DOI10.1214/14-STS511zbMath1332.62096arXiv1412.8695OpenAlexW3103934441MaRDI QIDQ254462

Arnaud Doucet, Nikolas Kantas, Nicolas Chopin, Sumeetpal S. Singh, Jan M. Maciejowski

Publication date: 8 March 2016

Published in: Statistical Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1412.8695

zbMATH Keywords

state-space modelssequential Monte CarloBayesian inferencemaximum likelihood inferenceparticle filtering

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05)

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Uses Software

• System Identification Toolbox

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