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Article Dans Une Revue Nonlinear Processes in Geophysics Année : 2014

Monte Carlo fixed-lag smoothing in state-space models

Résumé

This paper presents an algorithm for Monte Carlo fixed-lag smoothing in state-space models de-fined by a diffusion process observed through noisy discrete-time measurements. Based on a par-ticles approximation of the filtering and smoothing distributions, the method relies on a simulation technique of conditioned diffusions. The proposed sequential smoother can be applied to general 5 non linear and multidimensional models, like the ones used in environmental applications. The smoothing of a turbulent flow in a high-dimensional context is given as a practical example.
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Dates et versions

hal-01074987 , version 1 (16-10-2014)

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Anne Cuzol, Etienne Mémin. Monte Carlo fixed-lag smoothing in state-space models. Nonlinear Processes in Geophysics, 2014, 21, pp.633 - 643. ⟨10.5194/npg-21-633-2014⟩. ⟨hal-01074987⟩
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