An algorithm for non-parametric estimation in state-space models

DOI10.1016/j.csda.2020.107062OpenAlexW3049461796MaRDI QIDQ830582

Pierre Ailliot, Thi Tuyet Trang Chau, Valérie Monbet

Publication date: 7 May 2021

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.09525

zbMATH Keywords

state-space modelslocal linear regressionSEM algorithmconditional particle filternon-parametric statistics

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• On particle methods for parameter estimation in state-space models
• Convergence of a stochastic approximation version of the EM algorithm
• Many IVs estimation of dynamic panel regression models with measurement error
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• Backward Simulation Methods for Monte Carlo Statistical Inference
• Locally Weighted Regression: An Approach to Regression Analysis by Local Fitting
• Deterministic Nonperiodic Flow
• Particle Markov Chain Monte Carlo Methods
• A stable particle filter for a class of high-dimensional state-space models
• Monte Carlo Smoothing for Nonlinear Time Series
• Measurement Error in Nonlinear Models

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