Following a Moving Target—Monte Carlo Inference for Dynamic Bayesian Models

• 1 January 2001
• journal article
• Published by Oxford University Press (OUP) in Journal of the Royal Statistical Society Series B: Statistical Methodology
• Vol. 63  (1) , 127-146
• https://doi.org/10.1111/1467-9868.00280

Abstract

Keywords

• BAYESIAN INFERENCE
• DYNAMIC MODEL
• HIDDEN MARKOV MODEL
• IMPORTANCE RESAMPLING
• IMPORTANCE SAMPLING
• MARKOV CHAIN MONTE CARLO METHODS
• PARTICLE FILTER
• PREDICTIVE MODEL SELECTION
• SEQUENTIAL IMPUTATION
• SIMULATION
• TRACKING