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...

Полное описание

Библиографические подробности
Главные авторы:	Flury, T, Shephard, N
Формат:	Working paper
Язык:	English
Опубликовано:	Department of Economics (University of Oxford) 2009

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