The particle filter based on random number searching algorithm for parameter estimation

DOI10.1080/03610918.2015.1004269zbMath1362.62176OpenAlexW2551960512MaRDI QIDQ2974942

Wei Zheng, Weijie Kong, Juan Han, Dewang Ren

Publication date: 11 April 2017

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2015.1004269

zbMATH Keywords

parameter estimationparticle filter algorithmlinear Gaussian systemLJ (Luus and Jaakola) algorithmrandom number searching algorithmRao-Blackwellised particle filter (RBPF)

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Filtering in stochastic control theory (93E11)

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