Persing, Adam; Jasra, Ajay - In: Statistics & Probability Letters 83 (2013) 5, pp. 1433-1442
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...