Learning and filtering via simulation: smoothly jittered particle filters.
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...
| Huvudupphovsmän: | , |
|---|---|
| Materialtyp: | Working paper |
| Språk: | English |
| Publicerad: |
Department of Economics (University of Oxford)
2009
|