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Smoothing algorithms for state–space models

Author

Listed:
  • Mark Briers
  • Arnaud Doucet

    ()

  • Simon Maskell

Abstract

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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.
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    Cited by:

    1. repec:eee:csdana:v:114:y:2017:i:c:p:38-46 is not listed on IDEAS
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    6. Ajay Jasra, 2015. "Approximate Bayesian Computation for a Class of Time Series Models," International Statistical Review, International Statistical Institute, vol. 83(3), pages 405-435, December.
    7. repec:wyi:journl:002173 is not listed on IDEAS

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