A self-organizing state space model and simplex initial distribution search

DOI10.1007/S00180-007-0027-2zbMath1224.62090OpenAlexW2073593225MaRDI QIDQ626199

Koiti Yano

Publication date: 22 February 2011

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-007-0027-2

zbMATH Keywords

maximum likelihoodMonte Carlo particle filteringNelder Mead algorithm

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Monte Carlo methods (65C05)

Cites Work

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• Parameter estimation in general state-space models using particle methods
• Stochastic processes and filtering theory
• Sequential Monte Carlo Methods in Practice
• Dynamic Generalized Linear Models and Bayesian Forecasting
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• A Simplex Method for Function Minimization
• Nonlinear Bayesian estimation using Gaussian sum approximations

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