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Efficient Monte Carlo filtering for discretely observed jumping processes
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Whiteley, Nick, Johansen, Adam M. and Godsill, Simon J. (2007) Efficient Monte Carlo filtering for discretely observed jumping processes. In: Workshop on Statistical Signal Processing (14th), Madison, Wis., 2007 Aug. 26-29 pp. 89-93. doi:10.1109/SSP.2007.4301224
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Official URL: http://dx.doi.org/10.1109/SSP.2007.4301224
Abstract
This paper addresses a tracking problem in which the unobserved
process is characterised by a collection of random jump times and
associated random parameters. We construct a scheme for obtaining
particle approximations to the posterior distributions of interest in
the framework of sequential Monte Carlo (SMC) samplers [1]. We
describe efficient sampling schemes and demonstrate that two existing
schemes can be interpreted as particular cases of the proposed
method. Results are provided which illustrate the performance improvements
possible with our approach.
Item Type: | Conference Item (Paper) | ||||
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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, Filters (Mathematics) | ||||
Book Title: | 2007 IEEE/SP 14th Workshop on Statistical Signal Processing | ||||
Official Date: | 2007 | ||||
Dates: |
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Page Range: | pp. 89-93 | ||||
DOI: | 10.1109/SSP.2007.4301224 | ||||
Status: | Peer Reviewed | ||||
Access rights to Published version: | Restricted or Subscription Access | ||||
Date of first compliant deposit: | 17 December 2015 | ||||
Date of first compliant Open Access: | 17 December 2015 | ||||
Conference Paper Type: | Paper | ||||
Title of Event: | Workshop on Statistical Signal Processing (14th) | ||||
Type of Event: | Workshop | ||||
Location of Event: | Madison, Wis. | ||||
Date(s) of Event: | 2007 Aug. 26-29 |
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