Related papers: Particle Probability Hypothesis Density Filter bas…
Particle filters (PFs) are recursive Monte Carlo algorithms for Bayesian tracking and prediction in state space models. This paper addresses continuous-discrete filtering problems, where the hidden state evolves as an It\^o stochastic…
Hidden Markov Models (HMMs) are fundamental for modeling sequential data, yet learning their parameters from observations remains challenging. Classical methods like the Baum-Welch algorithm are computationally intensive and prone to local…
We introduce a new version of particle filter in which the number of "children" of a particle at a given time has a Poisson distribution. As a result, the number of particles is random and varies with time. An advantage of this scheme is…
An important and often overlooked aspect of particle filtering methods is the estimation of unknown static parameters. A simple approach for addressing this problem is to augment the unknown static parameters as auxiliary states that are…
Random finite sets (RFSs) has been a fruitful area of research in recent years, yielding new approximate filters such as the probability hypothesis density (PHD), cardinalised PHD (CPHD), and multiple target multi-Bernoulli (MeMBer). These…
We provide a derivation of the Poisson multi-Bernoulli mixture (PMBM) filter for multi-target tracking with the standard point target measurements without using probability generating functionals or functional derivatives. We also establish…
We present an efficient particle filtering algorithm for multiscale systems, that is adapted for simple atmospheric dynamics models which are inherently chaotic. Particle filters represent the posterior conditional distribution of the state…
This paper deals with parameter estimation in pair hidden Markov models (pair-HMMs). We first provide a rigorous formalism for these models and discuss possible definitions of likelihoods. The model being biologically motivated, some…
We propose a method for inference on moderately high-dimensional, nonlinear, non-Gaussian, partially observed Markov process models for which the transition density is not analytically tractable. Markov processes with intractable transition…
Consider a filtering process associated to a hidden Markov model with densities for which both the state space and the observation space are complete, separable, metric spaces. If the underlying, hidden Markov chain is strongly ergodic and…
The empirical and particle force-based models of granular segregation due to density differences among the species are compared in this work. Dependency of the empirical segregation parameters on the initial configuration, the observation…
This work focuses on sampling from hidden Markov models (Cappe et al, 2005) whose observations have intractable density functions. We develop a new sequential Monte Carlo (Doucet et al, 2000 and Gordon et al, 1993) algorithm and a new…
This tutorial provides a gentle introduction to the particle Metropolis-Hastings (PMH) algorithm for parameter inference in nonlinear state-space models together with a software implementation in the statistical programming language R. We…
Zebrafish is an excellent model organism, which has been widely used in the fields of biological experiments, drug screening, and swarm intelligence. In recent years, there are a large number of techniques for tracking of zebrafish involved…
We show that it is feasible to carry out exact Bayesian inference for non-Gaussian state space models using an adaptive Metropolis Hastings sampling scheme with the likelihood approximated by the particle filter. Furthermore, an adapyive…
By approximating posterior distributions with weighted samples, particle filters (PFs) provide an efficient mechanism for solving non-linear sequential state estimation problems. While the effectiveness of particle filters has been…
Particle Markov chain Monte Carlo (pMCMC) is now a popular method for performing Bayesian statistical inference on challenging state space models (SSMs) with unknown static parameters. It uses a particle filter (PF) at each iteration of an…
We investigate the performance of a class of particle filters (PFs) that can automatically tune their computational complexity by evaluating online certain predictive statistics which are invariant for a broad class of state-space models.…
The problem of discrete universal filtering, in which the components of a discrete signal emitted by an unknown source and corrupted by a known DMC are to be causally estimated, is considered. A family of filters are derived, and are shown…
The family of pointillist multitarget tracking filters is defined to be the class of filters that is characterized by a joint target-measurement finite point process. The probability generating functional (PGFL) of the joint process is…