Journal article
Filtering via Simulation: Auxiliary Particle Filters.
- Abstract:
- 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:
- Published
- Peer review status:
- Not peer reviewed
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- Files:
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(Author's original, eps, 1.1MB, Terms of use)
-
- Publisher copy:
- 10.1080/01621459.1999.10474153
Authors
- Publisher:
- American Statistical Association
- Journal:
- Journal of the American Statistical Association More from this journal
- Volume:
- 94
- Issue:
- 446
- Pages:
- 590 - 599
- Publication date:
- 1999-01-01
- DOI:
- ISSN:
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0162-1459
- Language:
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English
- UUID:
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uuid:74ccc2c4-1636-4847-b15c-5cc590068c53
- Local pid:
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oai:economics.ouls.ox.ac.uk:11063
- Deposit date:
-
2011-08-16
- ARK identifier:
Terms of use
- Copyright holder:
- American Statistical Association
- Copyright date:
- 1999
- Notes:
- This is an Author's Original Manuscript of an article whose final and definitive form, the Version of Record, has been published in the Journal of Business & Economic Statistics (June 1999), © 1999 American Statistical Association, available online at: http://www.tandfonline.com/10.1080/01621459.1999.10474153.
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