Sequential Monte Carlo smoothing with application to parameter estimation in nonlinear state space models
Olsson, Jimmy ; Cappé, Olivier ; Douc, Randal ; Moulines, Éric
Bernoulli, Tome 14 (2008) no. 1, p. 155-179 / Harvested from Project Euclid
This paper concerns the use of sequential Monte Carlo methods (SMC) for smoothing in general state space models. A well-known problem when applying the standard SMC technique in the smoothing mode is that the resampling mechanism introduces degeneracy of the approximation in the path space. However, when performing maximum likelihood estimation via the EM algorithm, all functionals involved are of additive form for a large subclass of models. To cope with the problem in this case, a modification of the standard method (based on a technique proposed by Kitagawa and Sato) is suggested. Our algorithm relies on forgetting properties of the filtering dynamics and the quality of the estimates produced is investigated, both theoretically and via simulations.
Publié le : 2008-02-15
Classification:  EM algorithm,  exponential family,  particle filters,  sequential Monte Carlo methods,  state space models,  stochastic volatility model
@article{1202492789,
     author = {Olsson, Jimmy and Capp\'e, Olivier and Douc, Randal and Moulines, \'Eric},
     title = {Sequential Monte Carlo smoothing with application to parameter estimation in nonlinear state space models},
     journal = {Bernoulli},
     volume = {14},
     number = {1},
     year = {2008},
     pages = { 155-179},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1202492789}
}
Olsson, Jimmy; Cappé, Olivier; Douc, Randal; Moulines, Éric. Sequential Monte Carlo smoothing with application to parameter estimation in nonlinear state space models. Bernoulli, Tome 14 (2008) no. 1, pp.  155-179. http://gdmltest.u-ga.fr/item/1202492789/