On the Forward Filtering Backward Smoothing particle approximations of the smoothing distribution in general state spaces models
Douc, Randal ; Garivier, Aurelien ; Moulines, Eric ; Olsson, Jimmy
arXiv, 0904.0316 / Harvested from arXiv
Text on arXiv
A prevalent problem in general state-space models is the approximation of the smoothing distribution of a state, or a sequence of states, conditional on the observations from the past, the present, and the future. The aim of this paper is to provide a rigorous foundation for the calculation, or approximation, of such smoothed distributions, and to analyse in a common unifying framework different schemes to reach this goal. Through a cohesive and generic exposition of the scientific literature we offer several novel extensions allowing to approximate joint smoothing distribution in the most general case with a cost growing linearly with the number of particles.
Publié le : 2009-04-02
Classification:  Mathematics - Statistics Theory,  60G10, 60K35, 60G18 
@article{0904.0316,
     author = {Douc, Randal and Garivier, Aurelien and Moulines, Eric and Olsson, Jimmy},
     title = {On the Forward Filtering Backward Smoothing particle approximations of
  the smoothing distribution in general state spaces models},
     journal = {arXiv},
     volume = {2009},
     number = {0},
     year = {2009},
     language = {en},
     url = {http://dml.mathdoc.fr/item/0904.0316}
}

Douc, Randal; Garivier, Aurelien; Moulines, Eric; Olsson, Jimmy. On the Forward Filtering Backward Smoothing particle approximations of
  the smoothing distribution in general state spaces models. arXiv, Tome 2009 (2009) no. 0, . http://gdmltest.u-ga.fr/item/0904.0316/