Generalised particle filters with Gaussian mixtures
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DOI: 10.1016/j.spa.2015.01.008
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References listed on IDEAS
- Christophe Andrieu & Arnaud Doucet, 2002. "Particle filtering for partially observed Gaussian state space models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(4), pages 827-836, October.
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- Crisan, D. & Obanubi, O., 2012. "Particle filters with random resampling times," Stochastic Processes and their Applications, Elsevier, vol. 122(4), pages 1332-1368.
- Rong Chen & Jun S. Liu, 2000. "Mixture Kalman filters," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(3), pages 493-508.
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More about this item
Keywords
Stochastic partial differential equation; Nonlinear filtering; Zakai equation; Particle filters; Gaussian mixtures; L2-convergence;All these keywords.
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