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  • Christopher Nemeth, Paul Fearnhead, Lyudmila S. Mihaylova
  • Computer Science, Mathematics
  • IEEE Transactions on Signal Processing
  • 2014 (First Publication: 1 March 2014)
  • This paper develops a novel sequential Monte Carlo (SMC) approach for joint state and parameter estimation that can deal efficiently with abruptly changing parameters which is a common case whenContinue Reading
  • Christopher Nemeth, Paul Fearnhead, Lyudmila S. Mihaylova
  • Mathematics
  • 2013 (First Publication: 4 June 2013)
  • Poyiadjis, Doucet, and Singh showed how particle methods can be used to estimate both the score and the observed information matrix for state–space models. These methods either suffer from aContinue Reading