Browsing Department of Pure Mathematics and Mathematical Statistics (DPMMS) by Subject "Sequential Monte Carlo"
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Maximum likelihood parameter estimation in time series models using sequential Monte Carlo
(University of CambridgeDepartment of Pure Mathematics and Mathematical StatisticsStatistical LaboratoryDarwin College, 20130611)Time series models are used to characterise uncertainty in many realworld dynamical phenomena. A time series model typically contains a static variable, called parameter, which parametrizes the joint law of the random ...