Optimal estimation and Cramér-Rao bounds for partial non-Gaussian state space models

DOI10.1023/A:1017920621802zbMath0995.62072OpenAlexW1556815202MaRDI QIDQ5960138

Niclas Bergman, Neil A. Gordon, Arnaud Doucet

Publication date: 11 April 2002

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1017920621802

zbMATH Keywords

optimal estimationposterior Cramer-Rao boundssequential Monte Carlo methods

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Monte Carlo methods (65C05) Sequential estimation (62L12)

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