A pseudo-marginal sequential Monte Carlo online smoothing algorithm
Author:
Affiliation:
1. AgroParisTech, Paris, France
2. Télécom SudParis, Paris, France
3. KTH Royal Institute of Technology, Stockholm, Sweden
Publisher
Bernoulli Society for Mathematical Statistics and Probability
Subject
Statistics and Probability
Reference38 articles.
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3. Uhlenbeck, G.E. and Ornstein, L.S. (1930). On the theory of the Brownian motion. Phys. Rev. 36 823.
4. Cappé, O., Moulines, E. and Rydén, T. (2005). Inference in Hidden Markov Models. Springer Series in Statistics. New York: Springer.
5. Bally, V. and Talay, D. (1996). The law of the Euler scheme for stochastic differential equations. II. Convergence rate of the density. Monte Carlo Methods Appl. 2 93–128. 10.1515/mcma.1996.2.2.93
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