A nested EnKF replaces the particle filter in SMC² to enable static parameter inference in nonlinear state-space models without requiring linear-Gaussian assumptions on the joint state-parameter process.
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Nested ensemble Kalman filter for static parameter inference in nonlinear state-space models
A nested EnKF replaces the particle filter in SMC² to enable static parameter inference in nonlinear state-space models without requiring linear-Gaussian assumptions on the joint state-parameter process.