A review on computation methods for Bayesian state-space model with case studies
Sequential Monte Carlo (SMC) and Forward Filtering Backward Sampling (FFBS) are the two most often seen algorithms for Bayesian state space models analysis. Various results regarding the applicability has been either claimed or shown. It is said that SMC would excel under nonlinear, non-Gaussian sit...
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| Format: | Others |
| Language: | English |
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2010
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| Online Access: | http://hdl.handle.net/2152/ETD-UT-2010-05-1302 |