Parameter estimation in general state-space models using particle methods

Annals of the Institute of Statistical Mathematics

Volumn 55, Issue 2, 2003, Pages 409-422

  Doucet, Arnaud ^a   Tadić, Vladislav B ^b  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^b UNIVERSITY OF MELBOURNE   (Australia)

Author keywords

Optimal filtering; Parameter estimation; Sequential Monte Carlo; State space models; Stochastic approximation

Indexed keywords

ALGORITHMS; APPROXIMATION THEORY; COMPUTER SIMULATION; MATHEMATICAL MODELS; MONTE CARLO METHODS; PARAMETER ESTIMATION; RANDOM PROCESSES; STATE SPACE METHODS;

OPTIMAL FILTERING;

OPTIMAL SYSTEMS;

EID: 0141803858     PISSN: 00203157     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1026390323638     Document Type: Conference Paper

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