On the Forward Filtering Backward Smoothing particle approximations of the smoothing distribution in general state spaces models
| dc.creator | Douc, Randal | |
| dc.creator | Garivier, Aurelien | |
| dc.creator | Moulines, Eric | |
| dc.creator | Olsson, Jimmy | |
| dc.date | 2009-04-02 | |
| dc.date.accessioned | 2026-07-07T12:59:32Z | |
| dc.date.available | 2026-07-07T12:59:32Z | |
| dc.description | 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 we offer several novel extensions allowing to approximate joint smoothing distribution in the most general case with a cost growing linearly with the number of particles. | |
| dc.identifier | https://arxiv.org/abs/0904.0316 | |
| dc.identifier | http://arxiv.org/abs/0904.0316 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/225605 | |
| dc.subject | Statistics Theory | |
| dc.subject | 60G10, 60K35, 60G18 | |
| dc.title | On the Forward Filtering Backward Smoothing particle approximations of the smoothing distribution in general state spaces models | |
| dc.type | text |