Asymptotic properties of particle filter-based maximum likelihood estimators for state space models

Stochastic Processes and their Applications

Volumn 118, Issue 4, 2008, Pages 649-680

  Olsson, Jimmy ^a   Rydén, Tobias ^b  

^a TELECOM PARISTECH   (France)

^b LUND UNIVERSITY   (Sweden)

Author keywords

Asymptotic normality; Consistency; Hidden Markov model; Maximum likelihood; Particle filter; Sequential Monte Carlo methods; State space models

Indexed keywords

ASYMPTOTIC ANALYSIS; INTERPOLATION; MARKOV PROCESSES; MAXIMUM LIKELIHOOD; MONTE CARLO METHODS; PARAMETER ESTIMATION;

ASYMPTOTIC PROPERTIES; PARTICLE FILTERS; SEQUENTIAL MONTE CARLO METHODS;

STATE SPACE METHODS;

EID: 39149122537     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2007.05.007     Document Type: Article

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