On Large Lag Smoothing for Hidden Markov Models

DOI10.1137/18M1198004zbMath1434.62175arXiv1804.07117OpenAlexW2992092112WikidataQ126620637 ScholiaQ126620637MaRDI QIDQ5203791

Sumeetpal S. Singh, Ajay Jasra, Jeremie Houssineau

Publication date: 9 December 2019

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.07117

zbMATH Keywords

smoothingoptimal transportmultilevel Monte Carlo

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Approximations to statistical distributions (nonasymptotic) (62E17)

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