Learning and filtering via simulation: smoothly jittered particle filters.

Learning and filtering via simulation: smoothly jittered particle filters.

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A key ingredient of many particle filters is the use of the sampling importance resampling algorithm (SIR), which transforms a sample of weighted draws from a prior distribution into equally weighted draws from a posterior distribution. We give a novel analysis of the SIR algorithm and analyse the...

Bibliografski detalji
Glavni autori:	Flury, T, Shephard, N
Format:	Working paper
Jezik:	English
Izdano:	Department of Economics (University of Oxford) 2009

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