Nested particle filters for online parameter estimation in discrete-time state-space Markov models

Dan Crisan, Joaquín Míguez: Nested particle filters for online parameter estimation in discrete-time state-space Markov models. En: Bernoulli, vol. 24, no 4A, pp. 3039 – 3086, 2018.

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@article{10.3150/17-BEJ954,
title = {Nested particle filters for online parameter estimation in discrete-time state-space Markov models},
author = {Dan Crisan and Joaqu\'{i}n M\'{i}guez},
url = {https://doi.org/10.3150/17-BEJ954},
doi = {10.3150/17-BEJ954},
year  = {2018},
date = {2018-01-01},
urldate = {2018-01-01},
journal = {Bernoulli},
volume = {24},
number = {4A},
pages = {3039 -- 3086},
publisher = {Bernoulli Society for Mathematical Statistics and Probability},
keywords = {error bounds, model inference, Monte Carlo, Parameter estimation, Particle filtering, recursive algorithms, State space models},
pubstate = {published},
tppubtype = {article}
}