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Tuned iterated filtering

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  • Lindström, Erik

Abstract

Iterated filtering is an algorithm for estimating parameters in partially observed Markov process (POMP) models. The real-world performance of the algorithm depends on several tuning parameters. We propose a simple method for optimizing the parameter governing the joint dynamics of the hidden parameter process (called the Σ matrix).

Suggested Citation

  • Lindström, Erik, 2013. "Tuned iterated filtering," Statistics & Probability Letters, Elsevier, vol. 83(9), pages 2077-2080.
    • Handle: RePEc:eee:stapro:v:83:y:2013:i:9:p:2077-2080
    DOI: 10.1016/j.spl.2013.05.019
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    References listed on IDEAS

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    1. Aaron A. King & Edward L. Ionides & Mercedes Pascual & Menno J. Bouma, 2008. "Inapparent infections and cholera dynamics," Nature, Nature, vol. 454(7206), pages 877-880, August.
    2. Lindström, Erik & Ströjby, Jonas & Brodén, Mats & Wiktorsson, Magnus & Holst, Jan, 2008. "Sequential calibration of options," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2877-2891, February.
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