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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
Stable URL: http://www.jstor.org/stable/2670179
Page Count: 10
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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.
Journal of the American Statistical Association © 1999 American Statistical Association