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https://doi.org/10.1016/j.spl.2013.02.005
| Title: | Likelihood computation for hidden Markov models via generalized two-filter smoothing | Authors: | Persing, A. Jasra, A. |
Keywords: | Generalized two-filter smoothing Likelihood estimation Sequential Monte Carlo |
Issue Date: | May-2013 | Citation: | Persing, A., Jasra, A. (2013-05). Likelihood computation for hidden Markov models via generalized two-filter smoothing. Statistics and Probability Letters 83 (5) : 1433-1442. ScholarBank@NUS Repository. https://doi.org/10.1016/j.spl.2013.02.005 | 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 etal., 2010). This estimate is unbiased and a central limit theorem (CLT) is established. The new estimate is also investigated from a numerical perspective. © 2013 Elsevier B.V. | Source Title: | Statistics and Probability Letters | URI: | http://scholarbank.nus.edu.sg/handle/10635/125056 | ISSN: | 01677152 | DOI: | 10.1016/j.spl.2013.02.005 |
| Appears in Collections: | Staff Publications |
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