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...

Полное описание

Библиографические подробности
Главные авторы:	Pitt, M, Shephard, N
Формат:	Journal article
Язык:	English
Опубликовано:	American Statistical Association 1999
Предметы:	Economics

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