Author:
Nguyen Thi Ngoc Minh,Le Corff Sylvain,Moulines Eric
Abstract
AbstractA prevalent problem in general state-space models is the approximation of the smoothing distribution of a state conditional on the observations from the past, the present, and the future. The aim of this paper is to provide a rigorous analysis of such approximations of smoothed distributions provided by the two-filter algorithms. We extend the results available for the approximation of smoothing distributions to these two-filter approaches which combine a forward filter approximating the filtering distributions with a backward information filter approximating a quantity proportional to the posterior distribution of the state, given future observations.
Publisher
Cambridge University Press (CUP)
Subject
Applied Mathematics,Statistics and Probability
Cited by
5 articles.
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