On Nonlinear and Nonnormal Filter Using Rejection Sampling

In this paper, a nonlinear and/or nonnormal filter is proposed using rejection sampling. Generating random draws of the state-vector directly from the filtering density, the filtering estimate is simply obtained as the arithmetic average of the random draws. In the proposed filter, the random draws are recursively generated at each time. The Monte-Carlo experiments indicate that the proposed nonlinear and nonnormal filter shows a good performance. Keywords— Nonlinear, Nonnormal, Filtering, Rejection Sampling, Proposal Density.