Fast smoothing in switching approximations of non-linear and non-Gaussian models
type: Item
instance of: scholarly article
title: Fast smoothing in switching approximations of non-linear and non-Gaussian models
zbMATH Open document ID: 1464.62084
author: Ivan Gorynin
author: Stéphane Derrode
author: Emmanuel Monfrini
author: Wojciech Pieczynski
published in: Computational Statistics and Data Analysis
publication date: 2018-08-14T00:00:00Z
Mathematics Subject Classification ID: 62-08
zbMATH DE Number: 6917761
zbMATH Keywords: smoothing in nonlinear systems
zbMATH Keywords: stochastic volatility
zbMATH Keywords: optimal statistical smoother
zbMATH Keywords: conditionally Gaussian linear state-space models
zbMATH Keywords: conditionally Markov switching hidden linear models
MaRDI profile type: Publication
full work available at URL: j.csda.2017.04.007
OpenAlex ID: W2606250730
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DOI: 10.1016/J.CSDA.2017.04.007
description: scientific article; zbMATH DE number 6917761