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Current Trends in Bayesian Methodology with Applications
book

Current Trends in Bayesian Methodology with Applications

by Satyanshu K. Upadhyay, Umesh Singh, Dipak K. Dey, Appaia Loganathan
May 2015
Intermediate to advanced content levelIntermediate to advanced
680 pages
22h 33m
English
Chapman and Hall/CRC
Content preview from Current Trends in Bayesian Methodology with Applications
Mixture Kalman Filters and Beyond 547
26.5 Beyond Mixture Kalman Filter in Practice
Note that the key to efficient Rao-Blackwellization is a (conditionally)
tractable substructure, which is not nec e ssarily limited to the conditionally
linear-Gaussian state-space model. In this section, we present some other ex-
isting Rao-B lackwellization a pproaches that are popular in practice.
26.5.1 Hierarchical conditionally finite HMM
Similar to the LGSS model, when the latent state evolves according to a finite
state Markov chain, the posterior of the state given the observations, can
be obtained in closed form us ing the hidden Markov model (HMM) forward
algorithm ...
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Publisher Resources

ISBN: 9781482235128