Rao-Blackwellisation of particle Markov chain Monte Carlo methods using forward filtering backward sampling
Abstract in UndeterminedSmoothing in state-space models amounts to computing the conditional distribution of the latent state trajectory, given observations, or expectations of functionals of the state trajectory with respect to this distribution. In recent years there has been an increased interest in Monte Carlo-based methods, often involving particle filters, for approximate smoothing in nonlin
