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Filtering via Simulation: Auxiliary Particle Filters

Michael K. Pitt and Neil Shephard
Journal of the American Statistical Association
Vol. 94, No. 446 (Jun., 1999), pp. 590-599
DOI: 10.2307/2670179
Stable URL: http://www.jstor.org/stable/2670179
Page Count: 10
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Filtering via Simulation: Auxiliary Particle Filters
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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.

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