Optimal SIR algorithm vs. fully adapted auxiliary particle filter: a non asymptotic analysis

DOI10.1007/S11222-012-9345-5MaRDI QIDQ746346zbMATH OpenOpenAlexFDO

Authors Yohan Petetin, François Desbouvries

Publication date 16 October 2015

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11222-012-9345-5

zbMATH Keywords

sequential Monte Carloresamplingparticle filteringsequential importance samplingauxiliary particle filteringnon asymptotic analysis

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Nonparametric statistical resampling methods (62G09) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 3992765 (Why is no real title available?)
• scientific article; zbMATH DE number 2106098 (Why is no real title available?)
• A note on auxiliary particle filters
• A survey of convergence results on particle filtering methods for practitioners
• Blind Deconvolution via Sequential Imputations
• Filtering via Simulation: Auxiliary Particle Filters
• Inference in hidden Markov models.
• Monte-Carlo technique in problems of optimal information processing
• On the auxiliary particle filter
• Recursive Monte Carlo filters: algorithms and theoretical analysis
• Sequential Imputations and Bayesian Missing Data Problems
• Sequential Monte Carlo Methods for Dynamic Systems
• Sequential Monte Carlo Methods in Practice
• State space and hidden Markov models

Cited in

(6)

• Moment preserving constrained resampling with applications to particle-in-cell methods
• Auxiliary particle filtering with lookahead support for univariate state space models
• A note on auxiliary particle filters
• An iterated extended Kalman auxiliary particle filter and analysis of algorithm performance
• Independent Particle Filters
• On the auxiliary particle filter

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