Random-weight particle filtering of continuous time processes

Journal of the Royal Statistical Society. Series B: Statistical Methodology

Volumn 72, Issue 4, 2010, Pages 497-512

  Fearnhead, Paul ^a   Papaspiliopoulos, Omiros ^b   Roberts, Gareth O ^c   Stuart, Andrew ^c  

^a LANCASTER UNIVERSITY   (United Kingdom)

^b UNIVERSITAT POMPEU FABRA   (Spain)

^c UNIVERSITY OF WARWICK   (United Kingdom)

Author keywords

Diffusions; Exact simulation; Gaussian process; Integrated processes; Negative importance weights; Poisson estimator; Sequential Monte Carlo methods

Indexed keywords

EID: 78650357319     PISSN: 13697412     EISSN: 14679868     Source Type: Journal    
DOI: 10.1111/j.1467-9868.2010.00744.x     Document Type: Article

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