most citedEfficient Bayesian Inference for Switching State-Space Models using Discrete Particle Markov Chain Monte Carlo Methods

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stat.CO2010★ 56 cited

Efficient Bayesian Inference for Switching State-Space Models using Discrete Particle Markov Chain Monte Carlo Methods

Nick Whiteley, Christophe Andrieu, Arnaud Doucet

Switching state-space models (SSSM) are a very popular class of time series models that have found many applications in statistics, econometrics and advanced signal processing. Bay…