Twisted particle filters

DOI10.1214/13-AOS1167zbMath1302.60139arXiv1210.0220OpenAlexW3104251110MaRDI QIDQ2448725

Anthony J. T. Lee, Nick Whiteley

Publication date: 5 May 2014

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.0220

zbMATH Keywords

hidden Markov modelMarkov chainfilteringsequential Monte Carloparticle filtersprediction filtersbootstrap algorithmperformance teststwisted particle algorithms

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35) Interacting random processes; statistical mechanics type models; percolation theory (60K35)

Related Items (14)

Central limit theorems for four new types of U-designs ⋮ Twisting the alive particle filter ⋮ Adaptive particle allocation in iterated sequential Monte Carlo via approximating meta-models ⋮ Monte Carlo Methods for the Neutron Transport Equation ⋮ Twisted particle filters ⋮ A note on random walks with absorbing barriers and sequential Monte Carlo methods ⋮ Inference on high-dimensional implicit dynamic models using a guided intermediate resampling filter ⋮ Dimension-free Wasserstein contraction of nonlinear filters ⋮ On the role of interaction in sequential Monte Carlo algorithms ⋮ Theory of segmented particle filters ⋮ Exact inference for a class of hidden Markov models on general state spaces ⋮ Forest resampling for distributed sequential Monte Carlo ⋮ Efficient \(\mathrm{SMC}^2\) schemes for stochastic kinetic models ⋮ On particle methods for parameter estimation in state-space models

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