Exact Filtering for Partially Observed Continuous Time Models
部分观测连续时间模型的精确滤波
Summary The forward–backward algorithm is an exact filtering algorithm which can efficiently calculate likelihoods, and which can be used to simulate from posterior distributions. Using a simple result which relates gamma random variables with different rates, we show how the forward–backward algorithm can be used to calculate the distribution of a sum of gamma random variables, and to simulate from their joint distribution given their sum. One application is to calculating…