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https://scholarbank.nus.edu.sg/handle/10635/120096
DC Field | Value | |
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dc.title | USING PARALLEL PARTICLE FILTERS FOR INFERENCES IN HIDDEN MARKOV MODELS | |
dc.contributor.author | HENG CHIANG WEE | |
dc.date.accessioned | 2015-06-30T18:00:42Z | |
dc.date.available | 2015-06-30T18:00:42Z | |
dc.date.issued | 2015-01-06 | |
dc.identifier.citation | HENG CHIANG WEE (2015-01-06). USING PARALLEL PARTICLE FILTERS FOR INFERENCES IN HIDDEN MARKOV MODELS. ScholarBank@NUS Repository. | |
dc.identifier.uri | http://scholarbank.nus.edu.sg/handle/10635/120096 | |
dc.description.abstract | In this thesis, we use particle filters on segmentations of the latent-state sequence of a hidden Markov model, to estimate the model likelihood and distribution of the hidden states. Under this set-up, the latent-state sequence is partitioned into subsequences, and particle filters are applied to provide estimation for the entire sequence. An important advantage is that parallel processing can be employed to reduce wall-clock computation time. We use a martingale difference argument to show that the model likelihood estimate is unbiased. We show, on numerical studies, that the estimators using parallel particle filters have comparable or reduced (for smoothed hidden-state estimation) variances compared to those obtained from standard particle filters with no sequence segmentation. We also illustrate the use of the parallel particle filter framework in the context of particle MCMC, on a stochastic volatility model. | |
dc.language.iso | en | |
dc.subject | Parallel Particle Filter, Hidden Markov Models, Likelihood Estimate, Smoothed Mean Estimate, Martingale Difference, Stochastic Volatility | |
dc.type | Thesis | |
dc.contributor.department | STATISTICS & APPLIED PROBABILITY | |
dc.contributor.supervisor | CHAN HOCK PENG | |
dc.contributor.supervisor | JASRA, AJAY | |
dc.description.degree | Ph.D | |
dc.description.degreeconferred | DOCTOR OF PHILOSOPHY | |
dc.identifier.isiut | NOT_IN_WOS | |
Appears in Collections: | Ph.D Theses (Open) |
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File | Description | Size | Format | Access Settings | Version | |
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HengCW.pdf | 3.35 MB | Adobe PDF | OPEN | None | View/Download |
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