State Space Models: References
timeSeries
Books:
- Monte-Carlo methods for SSM:
Web:
- Reference webpage maintained by Arnaud Doucet.
- Reference webpage maintained by Pierre Del Moral.
Smoothing:
- Fixed Lag Smoothing:
- (Kitagawa and Sato 2001): proposes the fixed-lag smoothing approach
- Forward Filtering-Backward Sampling:
- (Godsill, Doucet, and West 2004) generates a smoothing trajectory in \(\mathcal{O}(N \, T)\)
References
Cappé, Olivier, Eric Moulines, and Tobias Rydén. 2009. “Inference in Hidden Markov Models.” In Proceedings of EUSFLAT Conference, 14–16.
Chopin, Nicolas, Omiros Papaspiliopoulos, et al. 2020. An Introduction to Sequential Monte Carlo. Vol. 4. Springer.
Douc, Randal, Eric Moulines, and David Stoffer. 2014. Nonlinear Time Series: Theory, Methods and Applications with r Examples. CRC press.
Godsill, Simon J, Arnaud Doucet, and Mike West. 2004. “Monte Carlo Smoothing for Nonlinear Time Series.” Journal of the American Statistical Association 99 (465). Taylor & Francis: 156–68.
Kitagawa, Genshiro, and Seisho Sato. 2001. “Monte Carlo Smoothing and Self-Organising State-Space Model.” In Sequential Monte Carlo Methods in Practice, 177–95. Springer.
Särkkä, Simo, and Lennart Svensson. 2023. Bayesian Filtering and Smoothing. Vol. 17. Cambridge university press.