Optimal estimation and Cramer-Rao bounds for partial non-gaussian state space models
Partial non-Gaussian state-space models include many models of interest while keeping a convenient analytical structure. In this paper, two problems related to partial non-Gaussian models are addressed. First, we present an efficient sequential Monte Carlo method to perform Bayesian inference. Secon...
| Autori principali: | , , |
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| Natura: | Conference item |
| Pubblicazione: |
2001
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| Riassunto: | Partial non-Gaussian state-space models include many models of interest while keeping a convenient analytical structure. In this paper, two problems related to partial non-Gaussian models are addressed. First, we present an efficient sequential Monte Carlo method to perform Bayesian inference. Second, we derive simple recursions to compute posterior Cramér-Rao bounds (PCRB). An application to jump Markov linear systems (JMLS) is given. |
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