Tuned iterated filtering

Iterated filtering is an algorithm for estimating parameters in partially observed Markov process (POMP) models. The real-world performance of the algorithm depends on several tuning parameters. We propose a simple method for optimizing the parameter governing the joint dynamics of the hidden parameter process (called the Σ matrix).

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Year of publication:	2013
Authors:	Lindström, Erik
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 9, p. 2077-2080
Publisher:	Elsevier
Subject:	Hidden Markov models \| Sequential Monte Carlo methods \| Maximum likelihood estimation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011040011