A sequential particle algorithm that keeps the particle system alive

MaRDI QIDQ3434969zbMATH OpenFDO

Authors François Le Gland, Nadia Oudjane

Publication date 3 May 2007

zbMATH Keywords

Markov chainscentral limit theoremsparticle approximation of linear flow

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11)

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Cited in

(10)

• On the performance of particle filters with adaptive number of particles
• Residual and stratified branching particle filters
• On synchronized Fleming-Viot particle systems
• Approximate Bayesian Computation for a Class of Time Series Models
• Sequential Monte Carlo for rare event estimation
• Twisting the alive particle filter
• Sampling per mode for rare event simulation in switching diffusions
• Approximate Bayesian computation: a survey on recent results
• A Two-Step Branching Splitting Model Under Cost Constraint for Rare Event Analysis
• Exact and approximate Bayesian inference for low integer-valued time series models with intractable likelihoods

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