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...
| Main Authors: | , |
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| Format: | Working paper |
| Language: | English |
| Published: |
Department of Economics (University of Oxford)
2009
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Learning and filtering via simulation: smoothly jittered particle filters
Published 2009
Working paper