On the auxiliary particle filter

zbMath1176.62092arXiv0709.3448MaRDI QIDQ3633243

Jimmy Olsson, Randal Douc, Eric Moulines

Publication date: 18 June 2009

Full work available at URL: https://arxiv.org/abs/0709.3448

zbMATH Keywords

central limit theoremARCH modelsstratified samplingsequential Monte Carlostate space modelauxiliary particle filterGaussian modelstwo-stage samplingadjustment multiplier weight

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Monte Carlo methods (65C05)

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