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Monte Carlo Fixed-lag Smoothing in State-space Models : Volume 21, Issue 3 (28/05/2014)

By Cuzol, A.

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Book Id: WPLBN0003992567
Format Type: PDF Article :
File Size: Pages 11
Reproduction Date: 2015

Title: Monte Carlo Fixed-lag Smoothing in State-space Models : Volume 21, Issue 3 (28/05/2014)  
Author: Cuzol, A.
Volume: Vol. 21, Issue 3
Language: English
Subject: Science, Nonlinear, Processes
Collections: Periodicals: Journal and Magazine Collection, Copernicus GmbH
Publication Date:
Publisher: Copernicus Gmbh, Göttingen, Germany
Member Page: Copernicus Publications


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Mémin, E., & Cuzol, A. (2014). Monte Carlo Fixed-lag Smoothing in State-space Models : Volume 21, Issue 3 (28/05/2014). Retrieved from

Description: University of Bretagne-Sud, UMR 6205, LMBA, 56000 Vannes, France. 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.

Monte Carlo fixed-lag smoothing in state-space models

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