A two filter particle smoother for Wiener state-space systems

In this article, a two filter particle smoothing algorithm for Wiener state-space systems is proposed. The smoother is obtained by exploiting the model structure. This leads to a suitable proposal density for the backward filter inherent in the problem instead of introducing an artificial one. Numerical examples are provided in order to illustrate the proposed algorithm´s performance and to compare it to current state of the art smoothers from the literature. It is found that the proposed method yields comparable results with less computational complexity as backward simulation-based particle smoothing algorithms.