Showing 1 - 1 of 1
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 et al., 2010). This estimate is unbiased and a central limit theorem (CLT) is established. The new estimate...
Persistent link: https://www.econbiz.de/10011040015