تقرير
Revisiting the Two-Filter Formula for Smoothing for State-Space Models
| العنوان: | Revisiting the Two-Filter Formula for Smoothing for State-Space Models |
|---|---|
| المؤلفون: | Kitagawa, G. |
| سنة النشر: | 2023 |
| المجموعة: | Statistics |
| مصطلحات موضوعية: | Statistics - Computation, 62M10(Primary), 65D25(Secondary) |
| الوصف: | Smoothing algorithms for state-space models, i.e., fixed-interval smoothing, fixed-lag smoothing, and two-filter formula for smoothing, are examined using real examples. For linear and Gaussian state-space models, it is observed that similar posterior distributions can be obtained by properly defining the inverse filter. In the case of linear non-Gaussian state-space models, it is shown that Gaussian-sum smoothing is possible even for relatively high dimensional state-space model with Gaussian-mixture noise inputs by properly setting the inverse filter. The two-filter formula is also applicable for particle filter, but better results are obtained with fixed lag smoothing or with the average of forward and backward fixed lag smoothers. Comment: 27 pages, 2 tables, 12 figures |
| نوع الوثيقة: | Working Paper |
| URL الوصول: | http://arxiv.org/abs/2307.03428 |
| رقم الأكسشن: | edsarx.2307.03428 |
| قاعدة البيانات: | arXiv |
| الوصف غير متاح. |