Optimal filtering and the dual process

DOI10.3150/13-BEJ548zbMath1302.60071arXiv1305.4571MaRDI QIDQ470059

Omiros Papaspiliopoulos, Matteo Ruggiero

Publication date: 11 November 2014

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1305.4571

zbMATH Keywords

hidden Markov modelKalman filterfinite mixture modelsCox-Ingersoll-Ross processBayesian conjugacy

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Signal detection and filtering (aspects of stochastic processes) (60G35) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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A hidden Markov model for latent temporal clustering with application to ideological alignment in the U.S. Supreme Court ⋮ Computational challenges and temporal dependence in Bayesian nonparametric models ⋮ Autodifferentiable Ensemble Kalman Filters ⋮ Reduced-order autodifferentiable ensemble Kalman filters ⋮ Approximate filtering via discrete dual processes ⋮ Smoothing distributions for conditional Fleming-Viot and Dawson-Watanabe diffusions ⋮ Sequential Bayesian inference for implicit hidden Markov models and current limitations ⋮ Exact inference for a class of hidden Markov models on general state spaces ⋮ Predictive inference with Fleming-Viot-driven dependent Dirichlet processes ⋮ Duality for a class of continuous-time reversible Markov models

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