On the auxiliary particle filter (Q3633243)

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On the auxiliary particle filter
scientific article

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    author
    Randal Douc
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    Jimmy Olsson
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    Eric Moulines
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    publication date
    18 June 2009
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    Mathematics Subject Classification ID
    62M20
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    65C60
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    65C05
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    zbMATH DE Number
    5566162
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    zbMATH Keywords
    auxiliary particle filter
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    central limit theorem
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    adjustment multiplier weight
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    sequential Monte Carlo
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    state space model
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    stratified sampling
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    two-stage sampling
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    Gaussian models
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    ARCH models
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    arXiv classification
    math.ST
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    stat.TH
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    arXiv ID
    0709.3448
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