A data-cloning SMC² method is proposed as a general purpose optimization routine for estimating latent variable models by maximum likelihood. The latent variables are first marginalized out by SMC at any fixed parameter value, and the model parameters are then estimated by density tempered SMC....

This paper provides a new bridge sampler that can efficiently generate sample paths, subject to some endpoint condition, for non-Gaussian dynamic models. This bridge sampler uses a companion pseudo-Gaussian bridge as the proposal and sequentially re-simulates sample paths via a sequence of...