Particle filtering for partially observed Gaussian state space models

Journal of the Royal Statistical Society. Series B: Statistical Methodology

Volumn 64, Issue 4, 2002, Pages 827-836

  Andrieu, Christophe ^a   Doucet, Arnaud ^b  

^a UNIVERSITY OF BRISTOL   (United Kingdom)

^b UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

Bayesian estimation; Filtering; Generalized linear time series; Importance sampling; Sequential Monte Carlo sampling; State space model

Indexed keywords

EID: 0036436369     PISSN: 13697412     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9868.00363     Document Type: Article

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