A note on auxiliary particle filters
The auxiliary particle filter (APF) introduced by Pitt and Shephard [Pitt, M.K., Shephard, N., 1999. Filtering via simulation: Auxiliary particle filters. J. Am. Statist. Ass. 94, 590-599] is a very popular alternative to Sequential Importance Sampling and Resampling (SISR) algorithms to perform inf...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2008
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