Sequential Monte Carlo methods for parameter estimation in nonlinear state-space models

doi:10.1016/j.cageo.2012.03.013

YIC-IR > 中国科学院海岸带环境过程与生态修复重点实验室 > 海岸带信息集成与战略规划研究中心

	Sequential Monte Carlo methods for parameter estimation in nonlinear state-space models
	Gao, Meng1 ; Zhang, Hui 2
发表期刊	COMPUTERS & GEOSCIENCES
ISSN	0098-3004
	2012-07-01
卷号	44 页码:70-77
关键词	Maximum Likelihood Expectation-maximization Markov Chain Monte Carlo Bayesian Inference
DOI	10.1016/j.cageo.2012.03.013
产权排序	[Gao, Meng] Chinese Acad Sci, Yantai Inst Coastal Zone Res, Yantai 264003, Peoples R China; [Zhang, Hui] Lanzhou Univ, Sch Math & Stat, Lanzhou 730000, Peoples R China
通讯作者	Gao, M (reprint author), Chinese Acad Sci, Yantai Inst Coastal Zone Res, Yantai 264003, Peoples R China.,mgao@yic.ac.cn
作者部门	海岸带信息集成与综合管理实验室
英文摘要	Stochastic nonlinear state-space models (SSMs) are prototypical mathematical models in geoscience. Estimating unknown parameters in nonlinear SSMs is an important issue for environmental modeling. In this paper, we present two recently developed methods that are based on the sequential Monte Carlo (SMC) method for parameter estimation in nonlinear SSMs. The first method, which belongs to classical statistics, is the SMC-based maximum likelihood estimation. The second method, belonging to Bayesian statistics, is Particle Markov Chain Monte Carlo (PMCMC). With a low-dimensional nonlinear SSM, the implementations of the two methods are demonstrated. It is concluded that these SMC-based parameter estimation methods are applicable to environmental modeling and geoscience. (C) 2012 Elsevier Ltd. All rights reserved.
文章类型	Article
资助机构	Knowledge Innovation Project of CAS[KZCX2-EW-QN209]; NNSF of China[31000197] ; Knowledge Innovation Project of CAS KZCX2-EW-QN209 ; NNSF of China 31000197
收录类别	SCI
语种	英语
关键词[WOS]	DATA ASSIMILATION ; SAMPLING METHODS ; TUTORIAL
研究领域[WOS]	Computer Science ; Geology
WOS记录号	WOS:000306034100008
引用统计	被引频次：11[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	http://ir.yic.ac.cn/handle/133337/6166
专题	中国科学院海岸带环境过程与生态修复重点实验室_海岸带信息集成与战略规划研究中心
作者单位	1.Chinese Acad Sci, Yantai Inst Coastal Zone Res, Yantai 264003, Peoples R China 2.Lanzhou Univ, Sch Math & Stat, Lanzhou 730000, Peoples R China
推荐引用方式 GB/T 7714	Gao, Meng,Zhang, Hui. Sequential Monte Carlo methods for parameter estimation in nonlinear state-space models[J]. COMPUTERS & GEOSCIENCES,2012,44:70-77.
APA	Gao, Meng,&Zhang, Hui.(2012).Sequential Monte Carlo methods for parameter estimation in nonlinear state-space models.COMPUTERS & GEOSCIENCES,44,70-77.
MLA	Gao, Meng,et al."Sequential Monte Carlo methods for parameter estimation in nonlinear state-space models".COMPUTERS & GEOSCIENCES 44(2012):70-77.

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