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Smoothing algorithms for state-space models

Abstract:

Two-filter smoothing is a principled approach for performing optimal smoothing in non-linear non-Gaussian state-space models where the smoothing distributions are computed through the combination of 'forward' and 'backward' time filters. The 'forward' filter is the standard Bayesian filter but the 'backward' filter, generally referred to as the backward information filter, is not a probability measure on the space of the hidden Markov process. In cases where the backward information filter ca...

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Publication status:
Published

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Publisher copy:
10.1007/s10463-009-0236-2

Authors


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Institution:
University of Oxford
Department:
Oxford, MPLS, Statistics
Maskell, S More by this author
Journal:
ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS
Volume:
62
Issue:
1
Pages:
61-89
Publication date:
2010-02-05
DOI:
EISSN:
1572-9052
ISSN:
0020-3157
URN:
uuid:99094211-2c1d-444b-9f09-264e5c9bb60f
Source identifiers:
190575
Local pid:
pubs:190575

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