Recursive computation of smoothed functionals of hidden Markovian processes using a particle approximation

DOI10.1515/mcma.2001.7.1-2.81zbMath0982.65010OpenAlexW2043295594MaRDI QIDQ2724982

Olivier Cappé

Publication date: 12 July 2001

Published in: mcma (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma.2001.7.1-2.81

zbMATH Keywords

parameter estimationmaximum likelihoodhidden Markov modelssignal processingfinancetelecommunicationssequential Monte Carlostate space modelexpectation-maximizationparticle filteringswitching autoregression

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Stochastic particle methods (65C35)

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