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    A review on computation methods for Bayesian state-space model with case studies

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    YANG-MASTERS-REPORT.pdf (973.1Kb)
    Date
    2010-05
    Author
    Yang, Mengta, 1979-
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    Abstract
    Sequential Monte Carlo (SMC) and Forward Filtering Backward Sampling (FFBS) are the two most often seen algorithms for Bayesian state space models analysis. Various results regarding the applicability has been either claimed or shown. It is said that SMC would excel under nonlinear, non-Gaussian situations, and less computationally expansive. On the other hand, it has been shown that with techniques such as Grid approximation (Hore et al. 2010), FFBS based methods would do no worse, though still can be computationally expansive, but provide more exact information. The purpose of this report to compare the two methods with simulated data sets, and further explore whether there exist some clear criteria that may be used to determine a priori which methods would suit the study better.
    Department
    Mathematics
    Description
    text
    Subject
    Bayesian
    State space models
    Sequential Monte Carlo
    Markov Chain Monte Carlo
    Forward filtering backward sampling
    URI
    http://hdl.handle.net/2152/ETD-UT-2010-05-1302
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