Another look at Bayes map iterated filtering

DOI10.1016/j.spl.2016.05.013zbMath1351.62161OpenAlexW2405445797MaRDI QIDQ312073

Dao Nguyen

Publication date: 13 September 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2016.05.013

zbMATH Keywords

time seriesstochastic approximationhidden Markov modelBayes mapiterated filtering

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and prediction (62M20) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05)

Cites Work

• Iterated filtering
• Time series analysis via mechanistic models
• Inference for dynamic and latent variable models via iterated, perturbed Bayes maps
• Particle Markov Chain Monte Carlo Methods

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