On the two-filter approximations of marginal smoothing distributions in general state-space models

DOI10.1017/apr.2018.8OpenAlexW2963084975WikidataQ130107176 ScholiaQ130107176MaRDI QIDQ5214997

Sylvain Le Corff, Thi Ngoc Minh Nguyen, Eric Moulines

Publication date: 5 February 2020

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.08534

zbMATH Keywords

state-space modelsequential Monte Carloparticle filtertwo-filter smoothing

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Monte Carlo methods (65C05)

Related Items

Backward Importance Sampling for Online Estimation of State Space Models ⋮ Particle-based online estimation of tangent filters with application to parameter estimation in nonlinear state-space models

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