A Lagged Particle Filter for Stable Filtering of Certain High-Dimensional State-Space Models-Reference-Cited by-同舟云学术

A Lagged Particle Filter for Stable Filtering of Certain High-Dimensional State-Space Models

Published:2022-09-28 Issue:3 Volume:10 Page:1130-1161
ISSN:2166-2525
Container-title:SIAM/ASA Journal on Uncertainty Quantification
language:en
Short-container-title:SIAM/ASA J. Uncertainty Quantification

Author:

Ruzayqat Hamza¹^ORCID,Er-raiy Aimad¹,Beskos Alexandros²^ORCID,Crisan Dan³,Jasra Ajay¹^ORCID,Kantas Nikolas³

Affiliation:

1. Computer, Electrical and Mathematical Sciences and Engineering Division, King Abdullah University of Science and Technology, Thuwal, 23955, KSA (, , )

2. Department of Statistical Science, University College London, London, WC1E 6BT, UK ()

3. Department of Mathematics, Imperial College London, London, SW7 2AZ, UK (, )

Funder

King Abdullah University of Science and Technology

H2020 European Research Council

JPMorgan Chase and Company

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Discrete Mathematics and Combinatorics,Statistics, Probability and Uncertainty,Modeling and Simulation,Statistics and Probability

Reference29 articles.

1. On the stability of sequential Monte Carlo methods in high dimensions

2. A stable particle filter for a class of high-dimensional state-space models

3. Error Bounds and Normalising Constants for Sequential Monte Carlo Samplers in High Dimensions

4. Adaptive Sampling with the Ensemble Transform Kalman Filter. Part I: Theoretical Aspects

5. Inference in Hidden Markov Models

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