Tag Archives: effective sample size

Sequential Monte Carlo and the bootstrap filter

Posted on October 19, 2016 by Umberto P

In the previous post I have outlined three possibilities for approximating the likelihood function of a state space model (SSM). That post is a required read to follow the topics treated here. I concluded with sequential importance sampling (SIS), which … Continue reading →

Posted in Uncategorized | Tagged bootstrap filter, effective sample size, hidden Markov model, likelihood, outlier, particle degeneracy, resampling, sequential importance sampling, sequential Monte Carlo, state space model | 2 Comments

Tag Archives: effective sample size

Sequential Monte Carlo and the bootstrap filter

subscribe to posts

subscribe to comments

Follow Blog via Email

Archive