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Monte Carlo filtering of piecewise deterministic processes
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Whiteley, Nick, Johansen, Adam M. and Godsill, Simon J. (2011) Monte Carlo filtering of piecewise deterministic processes. Journal of Computational and Graphical Statistics, Vol.20 (No.1). pp. 119-139. doi:10.1198/jcgs.2009.08052 ISSN 1537-2715.
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Official URL: http://dx.doi.org/10.1198/jcgs.2009.08052
Abstract
We present efficient Monte Carlo algorithms for performing Bayesian inference in a broad class of models: those in which the distributions of interest may be represented by
time marginals of continuous-time jump processes conditional on a realisation of some noisy observation sequence. The sequential nature of the proposed algorithm makes it particularly suitable for online estimation in time series. We demonstrate that two existing schemes can be interpreted as particular cases of the proposed method. Results are provided which illustrate significant performance improvements relative to existing methods. The appendix to this document can be found online.
Item Type: | Journal Article | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Library of Congress Subject Headings (LCSH): | Monte Carlo method, Bayesian statistical decision theory, Filters (Mathematics) | ||||
Journal or Publication Title: | Journal of Computational and Graphical Statistics | ||||
Publisher: | American Statistical Association | ||||
ISSN: | 1537-2715 | ||||
Official Date: | 1 March 2011 | ||||
Dates: |
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Volume: | Vol.20 | ||||
Number: | No.1 | ||||
Page Range: | pp. 119-139 | ||||
DOI: | 10.1198/jcgs.2009.08052 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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