Particle filter-based approximate maximum likelihood inference asymptotics in state-space models

ESAIM Proceedings ◽

10.1051/proc:071915 ◽

2007 ◽

Vol 19 ◽

pp. 115-120

Author(s):

Jimmy Olsson ◽

Tobias Rydén

Keyword(s):

Maximum Likelihood ◽

Particle Filter ◽

State Space ◽

State Space Models ◽

Likelihood Inference ◽

Approximate Maximum Likelihood

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Asymptotic properties of particle filter-based maximum likelihood estimators for state space models

Stochastic Processes and their Applications ◽

10.1016/j.spa.2007.05.007 ◽

2008 ◽

Vol 118 (4) ◽

pp. 649-680 ◽

Author(s):

Jimmy Olsson ◽

Tobias Rydén

Keyword(s):

Maximum Likelihood ◽

Particle Filter ◽

State Space ◽

Asymptotic Properties ◽

Maximum Likelihood Estimators ◽

State Space Models

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A Class of Non-Gaussian State Space Models with Exact Likelihood Inference

SSRN Electronic Journal ◽

10.2139/ssrn.2310256 ◽

2013 ◽

Author(s):

Drew D. Creal

Keyword(s):

State Space ◽

State Space Models ◽

Likelihood Inference ◽

Gaussian State ◽

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Fixed-lag maximum likelihood FIR smoother for state-space models

IEICE Electronics Express ◽

10.1587/elex.5.11 ◽

2008 ◽

Vol 5 (1) ◽

pp. 11-16 ◽

Author(s):

Choon Ki Ahn ◽

Pyung Soo Kim

Keyword(s):

Maximum Likelihood ◽

State Space ◽

State Space Models

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Maximum Likelihood estimation of state space models from frequency domain data

2007 European Control Conference (ECC) ◽

10.23919/ecc.2007.7068439 ◽

2007 ◽

Author(s):

Adrian Wills ◽

Brett Ninness ◽

Stuart Gibson

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

State Space ◽

Frequency Domain ◽

Likelihood Estimation ◽

State Space Models

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Maximum Likelihood Estimation of State-Space Models

Springer Series in Statistics - An Introduction to Sequential Monte Carlo ◽

10.1007/978-3-030-47845-2_14 ◽

2020 ◽

pp. 251-277

Author(s):

Nicolas Chopin ◽

Omiros Papaspiliopoulos

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

State Space ◽

Likelihood Estimation ◽

State Space Models

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Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies

Electronic Journal of Statistics ◽

10.1214/19-ejs1636 ◽

2019 ◽

Vol 13 (2) ◽

pp. 5151-5212 ◽

Author(s):

Vicky Fasen-Hartmann ◽

Markus Scholz

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

State Space ◽

Continuous Time ◽

Likelihood Estimation ◽

State Space Models ◽

Low Frequencies ◽

Quasi Maximum Likelihood ◽

Linear State ◽

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Extensions to the invariance property of maximum likelihood estimation for affine‐transformed state‐space models

Journal of Time Series Analysis ◽

10.1111/jtsa.12571 ◽

2020 ◽

Author(s):

Adrian Pizzinga ◽

Marcelo Fernandes

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

State Space ◽

Likelihood Estimation ◽

State Space Models ◽

Invariance Property

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A Projection-Based Rao-Blackwellized Particle Filter to Estimate Parameters in Conditionally Conjugate State-Space Models

2018 IEEE Statistical Signal Processing Workshop (SSP) ◽

10.1109/ssp.2018.8450730 ◽

2018 ◽

Author(s):

Milan Papez

Keyword(s):

Particle Filter ◽

State Space ◽

State Space Models ◽

Conjugate State

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Maximum Likelihood Estimation of Parameters in State-Space Models

Modeling and Control of Economic Systems 2001 ◽

10.1016/b978-008043858-0/50018-8 ◽

2003 ◽

pp. 105-109

Author(s):

Jan Vlček

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

State Space ◽

Likelihood Estimation ◽

State Space Models ◽

Estimation Of Parameters

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Simulated Maximum Likelihood in Nonlinear Continuous-Discrete State Space Models: Importance Sampling by Approximate Smoothing

Computational Statistics ◽

10.1007/s001800300133 ◽

2003 ◽

Vol 18 (1) ◽

pp. 79-106 ◽

Author(s):

Hermann Singer

Keyword(s):

Maximum Likelihood ◽

State Space ◽

Importance Sampling ◽

State Space Models ◽

Simulated Maximum Likelihood ◽

Discrete State ◽

Discrete State Space

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