Smoothing algorithms for state-space models
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 stan...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2010
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