Filtering via Simulation: Auxiliary Particle Filters
This article analyses the recently suggested particle approach to filtering time series. We suggest that the algorithm is not robust to outliers for two reasons: The design of the simulators and the use of the discrete support to represent the sequentially updating prior distribution. Here we tackle...
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Published in | Journal of the American Statistical Association Vol. 94; no. 446; pp. 590 - 599 |
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Main Authors | , |
Format | Journal Article |
Language | English |
Published |
Alexandria, VA
Taylor & Francis Group
01.06.1999
American Statistical Association Taylor & Francis Ltd |
Subjects | |
Online Access | Get full text |
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Summary: | This article analyses the recently suggested particle approach to filtering time series. We suggest that the algorithm is not robust to outliers for two reasons: The design of the simulators and the use of the discrete support to represent the sequentially updating prior distribution. Here we tackle the first of these problems. |
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Bibliography: | ObjectType-Article-2 SourceType-Scholarly Journals-1 ObjectType-Feature-1 content type line 23 |
ISSN: | 0162-1459 1537-274X |
DOI: | 10.1080/01621459.1999.10474153 |