Particle filters

DOI10.3150/12-BEJSP07zbMATH Open1275.93058arXiv1309.7807MaRDI QIDQ373535FDOQ373535

Authors: H. R. Künsch 

Publication date: 17 October 2013

Published in: Bernoulli (Search for Journal in Brave)

Abstract: This is a short review of Monte Carlo methods for approximating filter distributions in state space models. The basic algorithm and different strategies to reduce imbalance of the weights are discussed. Finally, methods for more difficult problems like smoothing and parameter estimation and applications outside the state space model context are presented.

Full work available at URL: https://arxiv.org/abs/1309.7807

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zbMATH Keywords

smoothing algorithmstate space modelsensemble Kalman filterimportance sampling and resamplingsequential Monte Carlo method

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Sampled-data control/observation systems (93C57)

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Uses Software

• EnKF

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