9 citations · 10 across the 4 of their papers we have counts for
Showing stat.COShow all
2 papers · 1 filter
stat.CO2022
Adaptive online variance estimation in particle filters: the ALVar estimator
Alessandro Mastrototaro, Jimmy Olsson
We present a new approach-the ALVar estimator-to estimation of asymptotic variance in sequential Monte Carlo methods, or, particle filters. The method, which adjusts adaptively the…
stat.CO2021★ 9 cited
Fast and numerically stable particle-based online additive smoothing: the AdaSmooth algorithm
Alessandro Mastrototaro, Jimmy Olsson, Johan Alenlöv
We present a novel sequential Monte Carlo approach to online smoothing of additive functionals in a very general class of path-space models. Hitherto, the solutions proposed in the…