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Sequential Monte Carlo smoothing with estimation in non-linear state space models

Olsson, Jimmy LU ; Cappé, Olivier; Douc, Randal and Moulines, Éric (2006) In Preprint without journal information
Abstract
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 involved functionals will be of additive form for a large subclass of models. To cope with the problem in this case, a modification, relying on forgetting properties of the filtering dynamics, of the standard method is proposed. In this setting, the quality of the produced estimates is investigated both theoretically and through simulations.
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author
organization
publishing date
type
Contribution to journal
publication status
unpublished
subject
in
Preprint without journal information
issue
2006:15
publisher
Manne Siegbahn Institute
ISSN
0348-7911
language
English
LU publication?
yes
id
8519b3a6-db6c-420e-8931-a538ac05a4f5 (old id 931338)
date added to LUP
2008-01-23 12:14:02
date last changed
2016-04-16 07:03:37
@misc{8519b3a6-db6c-420e-8931-a538ac05a4f5,
  abstract     = {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 involved functionals will be of additive form for a large subclass of models. To cope with the problem in this case, a modification, relying on forgetting properties of the filtering dynamics, of the standard method is proposed. In this setting, the quality of the produced estimates is investigated both theoretically and through simulations.},
  author       = {Olsson, Jimmy and Cappé, Olivier and Douc, Randal and Moulines, Éric},
  issn         = {0348-7911},
  language     = {eng},
  number       = {2006:15},
  publisher    = {ARRAY(0x8bfa948)},
  series       = {Preprint without journal information},
  title        = {Sequential Monte Carlo smoothing with estimation in non-linear state space models},
  year         = {2006},
}