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...
主要な著者: | , , |
---|---|
フォーマット: | Journal article |
言語: | English |
出版事項: |
2005
|