Particle-Based Adaptive-Lag Online Marginal Smoothing in General State-Space Models
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DOI: 10.1109/tsp.2019.2941066
Abstract: We present a novel algorithm, an adaptive-lag smoother, approximating efficiently, in an online fashion, sequences of expectations under the marginal smoothing distributions in general state-space models. The algorithm evolves recursively a bank of estimators, one… read more here.
Keywords: adaptive lag; general state; marginal smoothing; state space ... See more keywords