Random-weight particle filtering of continuous time processes

DOI10.1111/J.1467-9868.2010.00744.XMaRDI QIDQ4632641zbMATH OpenOpenAlexFDO

Authors Paul Fearnhead, Omiros Papaspiliopoulos, Gareth O. Roberts, A. M. Stuart

Publication date 30 April 2019

Published in Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9868.2010.00744.x

zbMATH Keywords

Gaussian processexact simulationdiffusionssequential Monte Carlo methodsintegrated processesPoisson estimatornegative importance weights

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Numerical analysis or methods applied to Markov chains (65C40) Inference from stochastic processes and prediction (62M20)

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