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...

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Dettagli Bibliografici
Autori principali:	Flury, T, Shephard, N
Natura:	Working paper
Lingua:	English
Pubblicazione:	Department of Economics (University of Oxford) 2009

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