A stable particle filter for a class of high-dimensional state-space models

DOI10.1017/apr.2016.77zbMath1426.62274arXiv1412.3501OpenAlexW2595744296MaRDI QIDQ5233157

Yan Zhou, Kengo Kamatani, Alexandros Beskos, Ajay Jasra, Dan Crisan

Publication date: 16 September 2019

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1412.3501

zbMATH Keywords

state-space modelparticle filterhigh dimensions

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35)

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Cites Work

• Can local particle filters beat the curse of dimensionality?
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• On the stability of sequential Monte Carlo methods in high dimensions
• A lognormal central limit theorem for particle approximations of normalizing constants
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• Sequential Monte Carlo Methods for High-Dimensional Inverse Problems: A Case Study for the Navier--Stokes Equations
• Sequential Monte Carlo Samplers
• Error Bounds and Normalising Constants for Sequential Monte Carlo Samplers in High Dimensions
• On parallel implementation of sequential Monte Carlo methods: the island particle model
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