Maximum likelihood parameter estimation for latent variable models using sequential Monte Carlo

ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings

Volumn 3, Issue , 2006, Pages

  Johansen, Adam ^a   Doucet, Arnaud ^b   Davy, Manuel ^c  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^b UNIVERSITY OF BRITISH COLUMBIA   (Canada)

^c ECOLE CENTRALE DE LILLE   (France)

Author keywords

[No Author keywords available]

Indexed keywords

ALGORITHMS; COMPUTER SIMULATION; MAXIMUM LIKELIHOOD; MONTE CARLO METHODS; SIMULATED ANNEALING; TIME SERIES ANALYSIS;

EXPECTATION MAXIMIZATION (EM) ALGORITHM; MAXIMUM LIKELIHOOD PARAMETER ESTIMATION; NONLINEAR NON GAUSSIAN TIME SERIES MODEL; SEQUENTIAL MONTE CARLO (SMC);

PARAMETER ESTIMATION;

EID: 33947698297     PISSN: 15206149     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (9)

1. A.P. Dempster, N.M. Laird, and D.B.Rubin, "Maximum likelihood from incomplete data vie the EM Algorithm", Journal of the Royal Statistical Society, Series B, vol. 39, pp. 2-38, 1977.
2. C.P. Robert, and G. Casella, Monte Carlo Statistical Methods. New York: Springer-Verlag, second edition,2004.
3. A. Doucet, S.J. Godsill and C.P. Robert, "Marginal maximum a posteriori estimation using Markov chain Monte Carlo", Statistics and Computing, vol. 12, pp. 77-84, 2002.
4. E. Jacquier, M. Johannes, and N. Poison, "MCMC maximum likelihood for latent state models", Journal of Econometrics, 2005, To Appear.
5. C. Gaetan, and J.F. Yao, "A multiple-imputation Metropolis version of the EM algorithm", Biometrika, vol. 90, no. 3, pp. 643-654, 2003
6. P. Del Moral, Feynman-Kac Formulae. Genealogical and Interacting Particle Approximations, New York: Springer-Verlag, 2004.
7. P. Del Moral, A. Doucet and A. Jasra, "Sequential Monte Carlo methods for Bayesian computation" (with discussion), in Bayesian Statistics 8, Oxford University Press, to appear 2006.
8. A. Doucet, J.F.G. de Freitas and N.J. Gordon (eds.), Sequential Monte Carlo Methods in Practice. Statistics for Engineering and Information Science, New York: Springer-Verlag, 2001.
9. A. Kong, J.S. Liu, and W.H. Wong, "Sequential imputations and bayesian missing data problems". Journal of the American Statistical Association, vol. 89, no. 425, pp. 278-288, March 1994.