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: | , |
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| פורמט: | Journal article |
| שפה: | English |
| יצא לאור: |
American Statistical Association
1999
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| נושאים: |
| _version_ | 1826297241215696896 |
|---|---|
| author | Pitt, M Shephard, N |
| author_facet | Pitt, M Shephard, N |
| author_sort | Pitt, M |
| collection | OXFORD |
| description | 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 the first of these problems. |
| first_indexed | 2024-03-07T04:28:34Z |
| format | Journal article |
| id | oxford-uuid:cd83066c-bfc7-491b-98df-ece4e1a342d4 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T04:28:34Z |
| publishDate | 1999 |
| publisher | American Statistical Association |
| record_format | dspace |
| spelling | oxford-uuid:cd83066c-bfc7-491b-98df-ece4e1a342d42022-03-27T07:29:13ZFiltering via simulation: auxiliary particle filtersJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:cd83066c-bfc7-491b-98df-ece4e1a342d4EconomicsEnglishOxford University Research Archive - ValetAmerican Statistical Association1999Pitt, MShephard, NThis 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 the first of these problems. |
| spellingShingle | Economics Pitt, M Shephard, N Filtering via simulation: auxiliary particle filters |
| title | Filtering via simulation: auxiliary particle filters |
| title_full | Filtering via simulation: auxiliary particle filters |
| title_fullStr | Filtering via simulation: auxiliary particle filters |
| title_full_unstemmed | Filtering via simulation: auxiliary particle filters |
| title_short | Filtering via simulation: auxiliary particle filters |
| title_sort | filtering via simulation auxiliary particle filters |
| topic | Economics |
| work_keys_str_mv | AT pittm filteringviasimulationauxiliaryparticlefilters AT shephardn filteringviasimulationauxiliaryparticlefilters |