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Journal articles (2013), Journal of the Royal Statistical Society: Series B (Statistical Methodology), 75 (3), pp. 397-426

SMC2: an efficient algorithm for sequential analysis of state space models

Chopin N., JACOB Pierre , Papaspiliopoulos O.

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. Link to the article

CHOPIN, N., JACOB, P. and 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.