Particle filters
Statistics Theory
2013-10-01 v1 Computation
Statistics Theory
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.
Cite
@article{arxiv.1309.7807,
title = {Particle filters},
author = {Hans R. Künsch},
journal= {arXiv preprint arXiv:1309.7807},
year = {2013}
}
Comments
Published in at http://dx.doi.org/10.3150/12-BEJSP07 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)