Gaussian proposal density using moment matching in SMC methods
نویسندگان
چکیده
منابع مشابه
Gaussian proposal density using moment matching in SMC methods
In this article we introduce a new Gaussian proposal distribution to be used in conjunction with the sequential Monte Carlo (SMC) method for solving non-linear filtering problem. This proposal incorporates all the information about the to be estimated current state from both the available state and observation processes. This makes it more effective than the commonly used state transition densi...
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ژورنال
عنوان ژورنال: Statistics and Computing
سال: 2008
ISSN: 0960-3174,1573-1375
DOI: 10.1007/s11222-008-9084-9