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Parameterisation and efficient MCMC estimation of non-Gaussian state space models.
Chris M. Strickland
Gael M. Martin
Catherine S. Forbes
Published in:
Comput. Stat. Data Anal. (2008)
Keyphrases
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state space
markov chain
parameter estimation
prior knowledge
dynamic programming
non stationary
monte carlo
bayesian framework
estimation algorithm
neural network
optimal solution
probabilistic model
particle filter
markov chain monte carlo