Filtering via Simulation: Auxiliary Particle Filters.
This article analyses the recently suggested particle approach to filtering time series. We suggest that the algorithm is not robust to outliers for two reasons: the design of the simulators and the use of the discrete support to represent the sequentially updating prior distribution. Here we tackle...
| Main Authors: | , |
|---|---|
| Format: | Journal article |
| Language: | English |
| Published: |
American Statistical Association
1999
|