Autor:	Künsch, Hans R.
Rok vydání:	2013
Předmět:	Mathematics - Statistics Theory Statistics - Computation
Zdroj:	Bernoulli 2013, Vol. 19, No. 4, 1391-1403
Druh dokumentu:	Working Paper
DOI:	10.3150/12-BEJSP07
Popis:	This is a short review of Monte Carlo methods for approximating filter distributions in state space models. The basic algorithm and different strategies to reduce imbalance of the weights are discussed. Finally, methods for more difficult problems like smoothing and parameter estimation and applications outside the state space model context are presented. Comment: Published in at http://dx.doi.org/10.3150/12-BEJSP07 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1309.7807 Zobrazit plný text záznamu View this record from Arxiv