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September 2013 Particle filters
Hans R. Künsch
Bernoulli 19(4): 1391-1403 (September 2013). DOI: 10.3150/12-BEJSP07

Abstract

This is a short review of Monte Carlo methods for approximating filter distributions in state space models. The basic algorithm and different strategies to reduce imbalance of the weights are discussed. Finally, methods for more difficult problems like smoothing and parameter estimation and applications outside the state space model context are presented.

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Hans R. Künsch. "Particle filters." Bernoulli 19 (4) 1391 - 1403, September 2013. https://doi.org/10.3150/12-BEJSP07

Information

Published: September 2013
First available in Project Euclid: 27 August 2013

zbMATH: 1275.93058
MathSciNet: MR3102556
Digital Object Identifier: 10.3150/12-BEJSP07

Rights: Copyright © 2013 Bernoulli Society for Mathematical Statistics and Probability

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Vol.19 • No. 4 • September 2013
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