most citedMarginal Likelihood Computation for Hidden Markov Models via Generalized Two-Filter Smoothing

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stat.ME2012★ 1 cited

Marginal Likelihood Computation for Hidden Markov Models via Generalized Two-Filter Smoothing

Adam Persing, Ajay Jasra

In this note we introduce an estimate for the marginal likelihood associated to hidden Markov models (HMMs) using sequential Monte Carlo (SMC) approximations of the generalized two…