A sequential smoothing algorithm with linear computational cost

DOI10.1093/BIOMET/ASQ013zbMath1406.62093OpenAlexW2149532992MaRDI QIDQ3585406

David Wyncoll, Paul Fearnhead, Jonathan A. Tawn

Publication date: 19 August 2010

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://eprints.lancs.ac.uk/id/eprint/8844/2/smoothing.pdf

zbMATH Keywords

extreme value theoryparticle filteringforward-backward algorithmtwo-filter formulaparticle smoothing

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Extreme value theory; extremal stochastic processes (60G70) Sequential statistical analysis (62L10)

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