Year
2013
Authors
JACOB Pierre, CHOPIN N., PAPASPILIOPOULOS O.
Abstract
We consider the generic problem of performing sequential Bayesian inference in a state space model with observation process y, state process x and fixed parameter θ.
CHOPIN, N., JACOB, P. et PAPASPILIOPOULOS, O. (2013). SMC2: an efficient algorithm for sequential analysis of state space models. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 75(3), pp. 397-426.