A pseudo-marginal sequential Monte Carlo online smoothing algorithm

DOI10.3150/21-BEJ1431OpenAlexW3155176512WikidataQ113701725 ScholiaQ113701725MaRDI QIDQ2676934

Jimmy Olsson, Pierre Gloaguen, Sylvain Le Corff

Publication date: 28 September 2022

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1908.07254

zbMATH Keywords

central limit theoremsequential Monte Carlo methodspseudo-marginal methodsexponential concentrationpartially observed diffusionsparticle smoothing

Mathematics Subject Classification ID

Markov processes (60Jxx) Inference from stochastic processes (62Mxx) Probabilistic methods, stochastic differential equations (65Cxx)

Related Items (3)

Variance estimation for sequential Monte Carlo algorithms: a backward sampling approach ⋮ Backward Importance Sampling for Online Estimation of State Space Models ⋮ On backward smoothing algorithms

Uses Software

• moveHMM

Cites Work

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