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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:
Peer reviewed

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Institution:
Imperial College, London
Role:
Author
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Institution:
University of Oxford
Division:
SSD
Department:
Economics
Research group:
Econometrics
Oxford college:
Nuffield College
Role:
Author
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Name:
Economic and Social Research Council
Publisher:
American Statistical Association
Journal:
Journal of the American Statistical Association More from this journal
Volume:
94
Issue:
446
Pages:
590-599
Publication date:
1999-06-01
ISSN:
0162-1459
Language:
English
Keywords:
Subjects:
UUID:
uuid:cd83066c-bfc7-491b-98df-ece4e1a342d4
Local pid:
ora:2260
Deposit date:
2008-08-12

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