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Sequential Monte Carlo : particle filtering and beyond
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Johansen, Adam M. (2020) Sequential Monte Carlo : particle filtering and beyond. In: Balakrishnan, N. and Colton, T. and Everitt, B. and Piegorsch, W. and Ruggeri , F. and Teugels, J. L., (eds.) Wiley StatsRef : Statistics Reference Online. Oxford: Wiley.
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WRAP-Sequential-Monte-Carlo-particle-filters-Johansen-2020.pdf - Accepted Version - Requires a PDF viewer. Download (586Kb) | Preview |
Official URL: https://doi.org/10.1002/9781118445112.stat08282
Abstract
Sequential Monte Carlo methods are a family of computational algorithms which use an ensemble of weighted samples to approximate, in turn, each of a sequence of distributions and their associated normalizing constants. These algorithms first came to prominence as efficient methods for approximating the optimal filter in the context of hidden Markov models on general state spaces, online as observations become available, but are very much more widely applicable. This article seeks to provide a high‐level overview of these methods, introducing the methods themselves and some of their key theoretical properties before discussing their application in a range of settings which include inference for hidden Markov models; Bayesian inference more generally; maximum‐likelihood estimation and rare event estimation.
Item Type: | Book Item | ||||||
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Subjects: | Q Science > QA Mathematics | ||||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||||
Library of Congress Subject Headings (LCSH): | Bayesian statistical decision theory, Mathematical analysis, Monte Carlo method, Hidden Markov models | ||||||
Publisher: | Wiley | ||||||
Place of Publication: | Oxford | ||||||
Book Title: | Wiley StatsRef : Statistics Reference Online | ||||||
Editor: | Balakrishnan, N. and Colton, T. and Everitt, B. and Piegorsch, W. and Ruggeri , F. and Teugels, J. L. | ||||||
Official Date: | 4 November 2020 | ||||||
Dates: |
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DOI: | 10.1002/9781118445112.stat08282 | ||||||
Status: | Peer Reviewed | ||||||
Publication Status: | Published | ||||||
Reuse Statement (publisher, data, author rights): | "This is the peer reviewed version of the following article:Johansen, A.M. (2020). Sequential Monte Carlo: Particle Filters and Beyond. In Wiley StatsRef: Statistics Reference Online (eds N. Balakrishnan, T. Colton, B. Everitt, W. Piegorsch, F. Ruggeri and J.L. Teugels). ., which has been published in final form at https://doi.org/10.1002/9781118445112.stat08282. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions." | ||||||
Date of first compliant deposit: | 21 April 2020 | ||||||
Date of first compliant Open Access: | 4 November 2022 |
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