Filtering via simulation: auxiliary particle filters

Filtering via simulation: auxiliary particle filters

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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...

書誌詳細
主要な著者:	Pitt, M, Shephard, N
フォーマット:	Journal article
言語:	English
出版事項:	American Statistical Association 1999
主題:	Economics

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