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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
; ; and
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unpublished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
2016-04-04 09:40:44
date last changed
2018-11-21 20:54:51
@article{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    = {{Manne Siegbahn Institute}},
  series       = {{Preprint without journal information}},
  title        = {{Sequential Monte Carlo smoothing with estimation in non-linear state space models}},
  year         = {{2006}},
}