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...
| Κύριοι συγγραφείς: | , |
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| Μορφή: | Journal article |
| Γλώσσα: | English |
| Έκδοση: |
American Statistical Association
1999
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| Θέματα: |