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A modern perspective on auxiliary particle filters
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Johansen, Adam M. and Whiteley, Nick (2008) A modern perspective on auxiliary particle filters. In: Inference and Estimation in Probabilistic Time-Series Models , Isaac Newton Institute for Mathematical Sciences, Cambridge, UK , 18-20 Jun 2008. Published in: Proceedings of the Workshop Inference and Estimation in Probabilistic Time-Series Models pp. 28-36.
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Official URL: http://www.newton.ac.uk/programmes/SCH/schw05-pape...
Abstract
The auxiliary particle filter (APF) is a popular algorithm for the Monte Carlo approximation of the optimal filtering equations of state space models. This paper presents a summary of several recent developments which affect the practical implementation of this algorithm as well as simplifying its theoretical analysis. In particular, an interpretation of the APF, which makes use of an auxiliary sequence of distributions, allows the approach to be extended to more general Sequential Monte Carlo algorithms. The same interpretation allows existing theoretical results
for standard particle filters to be applied directly. Several non-standard implementations and applications are also discussed.
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), Particle methods (Numerical analysis) | ||||
Journal or Publication Title: | Proceedings of the Workshop Inference and Estimation in Probabilistic Time-Series Models | ||||
Publisher: | Isaac Newton Institute for Mathematical Sciences | ||||
Official Date: | 2008 | ||||
Dates: |
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Page Range: | pp. 28-36 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Conference Paper Type: | Paper | ||||
Title of Event: | Inference and Estimation in Probabilistic Time-Series Models | ||||
Type of Event: | Other | ||||
Location of Event: | Isaac Newton Institute for Mathematical Sciences, Cambridge, UK | ||||
Date(s) of Event: | 18-20 Jun 2008 |
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