Kitagawa, Genshiro - In: Annals of the Institute of Statistical Mathematics 66 (2014) 3, pp. 443-471
series modeling, sequential Monte Carlo method was developed for general nonlinear non-Gaussian state-space models and it … enables to consider very complex nonlinear non-Gaussian models for real-world problems. In this paper, we consider several …, two-filter formula for smoothing, and parallel computation. The posterior mean smoother and the Gaussian-sum smoother are …