Working paper icon

Working paper

Learning and filtering via simulation: smoothly jittered particle filters.

Abstract:

A key ingredient of many particle filters is the use of the sampling importance resampling algorithm (SIR), which transforms a sample of weighted draws from a prior distribution into equally weighted draws from a posterior distribution. We give a novel analysis of the SIR algorithm and analyse the jittered generalisation of SIR, showing that existing implementations of jittering lead to marked inferior behaviour over the base SIR algorithm. We show how jittering can be designed to improve t...

Expand abstract

Actions


Access Document


Files:

Authors


Volume:
469
Series:
Discussion Paper Series
Publication date:
2009-01-01
URN:
uuid:48caed1d-b7a1-47e8-a2b1-5944d9b0741c
Local pid:
oai:economics.ouls.ox.ac.uk:14814
Language:
English

Terms of use


Metrics


Views and Downloads






If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP