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 the first of these problems.
- Publication status:
- Peer review status:
- Peer reviewed
- American Statistical Association Publisher's website
- Journal of the American Statistical Association
- Publication date:
- Local pid:
- Deposit date:
- Copyright holder:
- American Statistical Association
- Copyright date:
- The full-text of this article is not available in ORA at this time. Citation: Pitt, M. K. & Shephard, N. (1999). 'Filtering via simulation: auxiliary particle filters', Journal of the American Statistical Association, 94(446), 590-599.
Views and Downloads
If you are the owner of this record, you can report an update to it here: Report update to this record