State Space Models: References

timeSeries
Published

11 11 2023

Modified

11 11 2023

Books:

Web:

Smoothing:

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.