Monte carlo smoothing for nonlinear time series

Journal of the American Statistical Association

Volumn 99, Issue 465, 2004, Pages 156-168

  Godsill, Simon J ^a   Doucet, Arnaud ^a   West, Mike ^b  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^b DUKE UNIVERSITY   (United States)

Author keywords

Bayesian inference; Non Gaussian time series; Nonlinear time series; Particle filter; Sequential Monte Carlo; Statespace model

Indexed keywords

EID: 2142848605     PISSN: 01621459     EISSN: 1537274X     Source Type: Journal    
DOI: 10.1198/016214504000000151     Document Type: Article

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