On-line parameter estimation in general state-space models

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...

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Номзүйн дэлгэрэнгүй
Үндсэн зохиолчид:	Andrieu, C, Doucet, A, Tadić, V
Формат:	Journal article
Хэл сонгох:	English
Хэвлэсэн:	2005

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