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Smoothing algorithms for state–space models

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  • Mark Briers
  • Arnaud Doucet
  • Simon Maskell

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Suggested Citation

  • Mark Briers & Arnaud Doucet & Simon Maskell, 2010. "Smoothing algorithms for state–space models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 62(1), pages 61-89, February.
    • Handle: RePEc:spr:aistmt:v:62:y:2010:i:1:p:61-89
    DOI: 10.1007/s10463-009-0236-2
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    References listed on IDEAS

    as
    1. Rong Chen & Jun S. Liu, 2000. "Mixture Kalman filters," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(3), pages 493-508.
    2. Paul Fearnhead & Omiros Papaspiliopoulos & Gareth O. Roberts, 2008. "Particle filters for partially observed diffusions," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 70(4), pages 755-777, September.
    3. Christophe Andrieu & Arnaud Doucet, 2002. "Particle filtering for partially observed Gaussian state space models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(4), pages 827-836, October.
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    Citations

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    Cited by:

    1. Persing, Adam & Jasra, Ajay, 2013. "Likelihood computation for hidden Markov models via generalized two-filter smoothing," Statistics & Probability Letters, Elsevier, vol. 83(5), pages 1433-1442.
    2. repec:bla:istatr:v:83:y:2015:i:3:p:405-435 is not listed on IDEAS
    3. Gorynin, Ivan & Derrode, Stéphane & Monfrini, Emmanuel & Pieczynski, Wojciech, 2017. "Fast smoothing in switching approximations of non-linear and non-Gaussian models," Computational Statistics & Data Analysis, Elsevier, vol. 114(C), pages 38-46.
    4. Genshiro Kitagawa, 2014. "Computational aspects of sequential Monte Carlo filter and smoother," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 66(3), pages 443-471, June.
    5. Parfait Munezero, 2022. "Efficient particle smoothing for Bayesian inference in dynamic survival models," Computational Statistics, Springer, vol. 37(2), pages 975-994, April.
    6. António A. F. Santos, 2015. "On the Forecasting of Financial Volatility Using Ultra-High Frequency Data," GEMF Working Papers 2015-17, GEMF, Faculty of Economics, University of Coimbra.
    7. repec:wyi:journl:002173 is not listed on IDEAS
    8. Nicolas Chopin & Mathieu Gerber, 2017. "Sequential quasi-Monte Carlo: Introduction for Non-Experts, Dimension Reduction, Application to Partly Observed Diffusion Processes," Working Papers 2017-35, Center for Research in Economics and Statistics.

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