Optimal SIR algorithm vs. fully adapted auxiliary particle filter: a non asymptotic analysis
DOI10.1007/S11222-012-9345-5zbMATH Open1322.62218OpenAlexW2075749231MaRDI QIDQ746346FDOQ746346
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
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sequential Monte Carloresamplingparticle filteringsequential importance samplingauxiliary particle filteringnon asymptotic analysis
Sampling theory, sample surveys (62D05) Nonparametric statistical resampling methods (62G09) Inference from stochastic processes and prediction (62M20)
Cites Work
- Sequential Monte Carlo Methods in Practice
- Inference in hidden Markov models.
- Sequential Imputations and Bayesian Missing Data Problems
- Filtering via Simulation: Auxiliary Particle Filters
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- Blind Deconvolution via Sequential Imputations
- Sequential Monte Carlo Methods for Dynamic Systems
- State space and hidden Markov models
- A survey of convergence results on particle filtering methods for practitioners
- Monte-Carlo technique in problems of optimal information processing
- Recursive Monte Carlo filters: algorithms and theoretical analysis
- On the auxiliary particle filter
- A note on auxiliary particle filters
Cited In (6)
- Independent Particle Filters
- On the auxiliary particle filter
- A note on auxiliary particle filters
- Moment preserving constrained resampling with applications to particle-in-cell methods
- Auxiliary particle filtering with lookahead support for univariate state space models
- An iterated extended Kalman auxiliary particle filter and analysis of algorithm performance
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