2 papers
stat.CO2021
Nested Gaussian filters for recursive Bayesian inference and nonlinear tracking in state space models
Sara Pérez-Vieites, Joaquín Míguez
We introduce a new sequential methodology to calibrate the fixed parameters and track the stochastic dynamical variables of a state-space system. The proposed method is based on th…
stat.CO2019
On the performance of particle filters with adaptive number of particles
Víctor Elvira, Joaquín Míguez, Petar M. Djurić
We investigate the performance of a class of particle filters (PFs) that can automatically tune their computational complexity by evaluating online certain predictive statistics wh…