On the Forward Filtering Backward Smoothing particle approximations of the smoothing distribution in general state spaces models
Douc, Randal ; Garivier, Aurélien ; Moulines, Éric ; Olsson, Jimmy
HAL, hal-00370685 / Harvested from HAL
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 : 2009-03-05
Classification:  Sequential Monte-carlo methods,  particle filter,  smoothing,  Hidden Markov Model,  AMS60G10; AMS60K35; AMS60G18,  [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST],  [STAT.TH]Statistics [stat]/Statistics Theory [stat.TH]
@article{hal-00370685,
     author = {Douc, Randal and Garivier, Aur\'elien 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 = {HAL},
     volume = {2009},
     number = {0},
     year = {2009},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00370685}
}
Douc, Randal; Garivier, Aurélien; Moulines, Éric; Olsson, Jimmy. On the Forward Filtering Backward Smoothing particle approximations of the smoothing distribution in general state spaces models. HAL, Tome 2009 (2009) no. 0, . http://gdmltest.u-ga.fr/item/hal-00370685/