Statistical Science

Particle Learning and Smoothing

Carlos M. Carvalho, Michael S. Johannes, Hedibert F. Lopes, and Nicholas G. Polson

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Particle learning (PL) provides state filtering, sequential parameter learning and smoothing in a general class of state space models. Our approach extends existing particle methods by incorporating the estimation of static parameters via a fully-adapted filter that utilizes conditional sufficient statistics for parameters and/or states as particles. State smoothing in the presence of parameter uncertainty is also solved as a by-product of PL. In a number of examples, we show that PL outperforms existing particle filtering alternatives and proves to be a competitor to MCMC.

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Statist. Sci., Volume 25, Number 1 (2010), 88-106.

First available in Project Euclid: 3 August 2010

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Mixture Kalman filter parameter learning particle learning sequential inference smoothing state filtering state space models


Carvalho, Carlos M.; Johannes, Michael S.; Lopes, Hedibert F.; Polson, Nicholas G. Particle Learning and Smoothing. Statist. Sci. 25 (2010), no. 1, 88--106. doi:10.1214/10-STS325.

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