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...

Bibliografske podrobnosti
Main Authors:	Andrieu, C, Doucet, A, Tadić, V
Format:	Journal article
Jezik:	English
Izdano:	2005

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