On-line parameter estimation in general state-space models
The estimation of static parameters in general non-linear non-Gaussian state-space models is a long-standing problem. This is despite the advent of Sequential Monte Carlo (SMC, aka particle filters) methods, which provide very good approximations to the optimal filter under weak assumptions. Several...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2005
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