Corpus ID: 15743967

ON THE FORWARD FILTERING BACKWARD SMOOTHING PARTICLE APPROXIMATIONS OF THE SMOOTHING DISTRIBUTION IN GENERAL STATE SPACES MODELS

@inproceedings{Douc2009ONTF,
  title={ON THE FORWARD FILTERING BACKWARD SMOOTHING PARTICLE APPROXIMATIONS OF THE SMOOTHING DISTRIBUTION IN GENERAL STATE SPACES MODELS},
  author={Randal Douc and Aur{\'e}lien Garivier and Eric Moulines and Jimmy Olsson},
  year={2009}
}
  • Randal Douc, Aurélien Garivier, +1 author Jimmy Olsson
  • Published 2009
  • Mathematics
  • A prevalent problem in general state-space models is the approximation of the smoothing distribution of a state, or a sequence of states, conditional on the observations from the past, the present, and the future. The aim of this paper is to provide a rigorous foundation for the calculation, or approximation, of such smoothed distributions, and to analyse in a common unifying framework different schemes to reach this goal. Through a cohesive and generic exposition of the scientific literature… CONTINUE READING

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