On the Forward Filtering Backward Smoothing particle approximations of the smoothing distribution in general state spaces models - Archive ouverte HAL
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.
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Dates et versions

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

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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⟩
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