Random-Weight Particle Filtering of Continuous Time Processes

DOI10.1111/j.1467-9868.2010.00744.xzbMath1411.60109OpenAlexW2109024167MaRDI QIDQ4632641

Omiros Papaspiliopoulos, Paul Fearnhead, Gareth O. Roberts, Andrew 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 processdiffusionssequential Monte Carlo methodsexact simulationintegrated processesPoisson estimatornegative importance weights

Mathematics Subject Classification ID

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

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