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.
Domaines
Statistiques [stat]
Origine : Fichiers produits par l'(les) auteur(s)
Loading...