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stat.CO2022
Conditional particle filters with bridge backward sampling
Santeri Karppinen, Sumeetpal S. Singh, Matti Vihola
Conditional particle filters (CPFs) with backward/ancestor sampling are powerful methods for sampling from the posterior distribution of the latent states of a dynamic model such a…
stat.CO2022
On resampling schemes for particle filters with weakly informative observations
Nicolas Chopin, Sumeetpal S. Singh, Tomás Soto +1
We consider particle filters with weakly informative observations (or `potentials') relative to the latent state dynamics. The particular focus of this work is on particle filters…