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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…
stat.CO2012
Bayesian Parameter Inference for Partially Observed Stopped Processes
Ajay Jasra, Nikolas Kantas
In this article we consider Bayesian parameter inference associated to partially-observed stochastic processes that start from a set B0 and are stopped or killed at the first hitti…