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Particle filtering for partially observed Gaussian state space models

โœ Scribed by Christophe Andrieu; Arnaud Doucet


Book ID
108547662
Publisher
Blackwell Publishing
Year
2002
Tongue
English
Weight
275 KB
Volume
64
Category
Article
ISSN
0952-8385

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Filtering and smoothing algorithms for s
โœ R. Kohn; C.F. Ansley ๐Ÿ“‚ Article ๐Ÿ“… 1989 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 790 KB

The paper reviews and generalizes recent filtering and smoothing algorithms for observations generated by a state model. In particular the paper discusses the modified Kalman filter derived by Ansley and Kohn (1985) and Kohn and Ansley (1986) to deal with state space models having partially diffuse