Recursive Monte Carlo filters: Algorithms and theoretical analysis
نویسندگان
چکیده
منابع مشابه
Recursive Monte Carlo Filters: Algorithms and Theoretical Analysis
Recursive Monte Carlo filters, also called particle filters, are a powerful tool to perform the computations in general state space models. We discuss and compare the accept-reject version with the more common sampling importance resampling version of the algorithm. In particular, we show how auxiliary variable methods and stratification can be used in the accept-reject version, and we compare ...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2005
ISSN: 0090-5364
DOI: 10.1214/009053605000000426