Tag Archives: sequential Monte Carlo

Sequential Monte Carlo and the bootstrap filter

Posted on October 19, 2016 by umbertopicchini

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 | Leave a comment

Tag Archives: sequential Monte Carlo

Sequential Monte Carlo and the bootstrap filter

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