Filtering via simulation: auxiliary particle filters

Filtering via simulation: auxiliary particle filters

Taispeáin leaganacha eile (2)

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...

Cur síos iomlán

Sonraí bibleagrafaíochta
Príomhchruthaitheoirí:	Pitt, M, Shephard, N
Formáid:	Journal article
Teanga:	English
Foilsithe / Cruthaithe:	American Statistical Association 1999
Ábhair:	Economics

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