Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1151921 | Statistics & Probability Letters | 2013 | 10 Pages |
Abstract
We introduce an estimate for the likelihood of hidden Markov models (HMMs) using sequential Monte Carlo (SMC) approximations of the generalized two-filter smoothing decomposition (Briers et al., 2010). This estimate is unbiased and a central limit theorem (CLT) is established. The new estimate is also investigated from a numerical perspective.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Adam Persing, Ajay Jasra,