On the Forward Filtering Backward Smoothing particle approximations of the smoothing distribution in general state spaces models - Archive ouverte HAL Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2009

On the Forward Filtering Backward Smoothing particle approximations of the smoothing distribution in general state spaces models

Résumé

A prevalent problem in general state-space models is the approximation of the smoothing distribution of a state, or a sequence of states, conditional on the observations from the past, the present, and the future. The aim of this paper is to provide a rigorous foundation for the calculation, or approximation, of such smoothed distributions, and to analyse in a common unifying framework different schemes to reach this goal. Through a cohesive and generic exposition of the scientific literature we offer several novel extensions allowing to approximate joint smoothing distribution in the most general case with a cost growing linearly with the number of particles.
Fichier principal
Vignette du fichier
dgarm.pdf (365.11 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-00370685 , version 1 (01-04-2009)

Identifiants

Citer

Randal Douc, Aurélien Garivier, Éric Moulines, Jimmy Olsson. On the Forward Filtering Backward Smoothing particle approximations of the smoothing distribution in general state spaces models. 2009. ⟨hal-00370685⟩
192 Consultations
110 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More