- Volume 14, Number 1 (2008), 155-179.
Sequential Monte Carlo smoothing with application to parameter estimation in nonlinear state space models
This paper concerns the use of sequential Monte Carlo methods (SMC) for smoothing in general state space models. A well-known problem when applying the standard SMC technique in the smoothing mode is that the resampling mechanism introduces degeneracy of the approximation in the path space. However, when performing maximum likelihood estimation via the EM algorithm, all functionals involved are of additive form for a large subclass of models. To cope with the problem in this case, a modification of the standard method (based on a technique proposed by Kitagawa and Sato) is suggested. Our algorithm relies on forgetting properties of the filtering dynamics and the quality of the estimates produced is investigated, both theoretically and via simulations.
Bernoulli, Volume 14, Number 1 (2008), 155-179.
First available in Project Euclid: 8 February 2008
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Olsson, Jimmy; Cappé, Olivier; Douc, Randal; Moulines, Éric. Sequential Monte Carlo smoothing with application to parameter estimation in nonlinear state space models. Bernoulli 14 (2008), no. 1, 155--179. doi:10.3150/07-BEJ6150. https://projecteuclid.org/euclid.bj/1202492789