Direct, prediction- and smoothing-based Kalman and particle filter algorithms

DOI10.1016/j.sigpro.2011.03.013zbMath1217.94085OpenAlexW2097513924MaRDI QIDQ553773

François Desbouvries, Yohan Petetin, Boujemaa Ait-El-Fquih

Publication date: 27 July 2011

Published in: Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sigpro.2011.03.013

zbMATH Keywords

Kalman filterssequential Monte Carloparticle filteringsequential importance samplingsampling importance resampling

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Monte Carlo methods (65C05) Sampling theory in information and communication theory (94A20)

Related Items

A new conditional posterior Cramér-Rao lower bound for a class of nonlinear systems

Uses Software

• bootstrap

Cites Work

• Monte-Carlo technique in problems of optimal information processing
• Bootstrap methods: another look at the jackknife
• The weighted bootstrap
• Inference in hidden Markov models.
• Sampling-Based Approaches to Calculating Marginal Densities
• On the auxiliary particle filter
• The bootstrap: To smooth or not to smooth?
• Array algorithms for H/sup ∞/ estimation
• Sequential Monte Carlo Methods for Dynamic Systems
• Filtering via Simulation: Auxiliary Particle Filters
• One-step fixed-lag smoothers for Markovian switching systems
• On Bayesian Fixed-Interval Smoothing Algorithms
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