Computational aspects of sequential Monte Carlo filter and smoother

Annals of the Institute of Statistical Mathematics

Volumn 66, Issue 3, 2014, Pages 443-471

  Kitagawa, Genshiro ^a  

^a NATIONAL INSTITUTE OF GENETICS   (Japan)

Author keywords

Gaussian sum filter; Nonlinear non Gaussian state space model; Parallel computation; Particle filter; Posterior mean smoother; Two filter formula

Indexed keywords

BAYESIAN NETWORKS; GAUSSIAN NOISE (ELECTRONIC); INFERENCE ENGINES; INFORMATION TECHNOLOGY; STOCHASTIC SYSTEMS;

GAUSSIAN-SUM FILTER; PARALLEL COMPUTATION; PARTICLE FILTER; POSTERIOR MEANS; STATE-SPACE MODELING; TWO-FILTER FORMULA;

MONTE CARLO METHODS;

EID: 84903276075     PISSN: 00203157     EISSN: 15729052     Source Type: Journal    
DOI: 10.1007/s10463-014-0446-0     Document Type: Conference Paper

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