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

文献类型：期刊论文

作者Gao, Meng1; Zhang, Hui2
刊名COMPUTERS & GEOSCIENCES
出版日期2012-07-01
卷号44页码:70-77
关键词Maximum likelihood Expectation-Maximization Markov Chain Monte Carlo Bayesian inference
ISSN号0098-3004
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
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.
学科主题Computer Science, Interdisciplinary Applications ; Geosciences, Multidisciplinary
研究领域[WOS]Computer Science ; Geology
关键词[WOS]DATA ASSIMILATION ; SAMPLING METHODS ; TUTORIAL
收录类别SCI
资助信息Knowledge Innovation Project of CAS[KZCX2-EW-QN209]; NNSF of China[31000197]
语种英语
WOS记录号WOS:000306034100008
公开日期2013-03-08
源URL[http://ir.yic.ac.cn/handle/133337/6167]  
专题烟台海岸带研究所_海岸带信息集成与综合管理实验室
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.

入库方式： OAI收割

来源：烟台海岸带研究所

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