NPG Nonlinear Processes in Geophysics NPG Nonlin. Processes Geophys. 1607-7946 Copernicus Publications Göttingen, Germany 10.5194/npg-21-633-2014 Monte Carlo fixed-lag smoothing in state-space models Cuzol A. 1 Mémin E. 2 University of Bretagne-Sud, UMR 6205, LMBA, 56000 Vannes, France INRIA Rennes-Bretagne Atlantique, Rennes, France 28 05 2014 21 3 633 643 Copyright: © 2014 A. Cuzol 2014 This work is licensed under the Creative Commons Attribution 3.0 Unported License. To view a copy of this licence, visit https://creativecommons.org/licenses/by/3.0/ This article is available from https://npg.copernicus.org/articles/21/633/2014/npg-21-633-2014.html The full text article is available as a PDF file from https://npg.copernicus.org/articles/21/633/2014/npg-21-633-2014.pdf

This paper presents an algorithm for Monte Carlo fixed-lag smoothing in state-space models defined by a diffusion process observed through noisy discrete-time measurements. Based on a particle approximation of the filtering and smoothing distributions, the method relies on a simulation technique of conditioned diffusions. The proposed sequential smoother can be applied to general nonlinear and multidimensional models, like the ones used in environmental applications. The smoothing of a turbulent flow in a high-dimensional context is given as a practical example.

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