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| Titel |
Monte Carlo fixed-lag smoothing in state-space models |
| VerfasserIn |
A. Cuzol, E. Mémin |
| Medientyp |
Artikel
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| Sprache |
Englisch
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| ISSN |
1023-5809
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| Digitales Dokument |
URL |
| Erschienen |
In: Nonlinear Processes in Geophysics ; 21, no. 3 ; Nr. 21, no. 3 (2014-05-28), S.633-643 |
| Datensatznummer |
250120918
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| Publikation (Nr.) |
 copernicus.org/npg-21-633-2014.pdf |
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| Zusammenfassung |
| This paper presents an algorithm for Monte Carlo
fixed-lag smoothing in state-space models defined by a diffusion process
observed through noisy discrete-time measurements. Based on a particle
approximation of the filtering and smoothing distributions, the method relies
on a simulation technique of conditioned diffusions. The proposed sequential
smoother can be applied to general nonlinear and multidimensional models,
like the ones used in environmental applications. The smoothing of a
turbulent flow in a high-dimensional context is given as a practical example. |
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