Exact filtering for partially observed continuous time models
Exact filtering for partially observed continuous time models
About this item
Full title
Author / Creator
Publisher
Oxford, UK: Blackwell Publishing
Journal title
Language
English
Formats
Publication information
Publisher
Oxford, UK: Blackwell Publishing
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Scope and Contents
Contents
The forward-backward algorithm is an exact filtering algorithm which can efficiently calculate likelihoods, and which can be used to simulate from posterior distributions. Using a simple result which relates gamma random variables with different rates, we show how the forward-backward algorithm can be used to calculate the distribution of a sum of...
Alternative Titles
Full title
Exact filtering for partially observed continuous time models
Authors, Artists and Contributors
Author / Creator
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Record Identifier
TN_cdi_proquest_miscellaneous_37944968
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_miscellaneous_37944968
Other Identifiers
ISSN
1369-7412
E-ISSN
1467-9868
DOI
10.1111/j.1467-9868.2004.05561.x
