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

Beskos, A; Crisan, D; Jasra, A; Kamatani, K; Zhou, Y; (2017) A stable particle filter for a class of high-dimensional state-space models. Advances in Applied Probability , 49 (1) pp. 24-48. 10.1017/apr.2016.77. Green open access

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Type: Article
Title: A stable particle filter for a class of high-dimensional state-space models
Open access status: An open access version is available from UCL Discovery
DOI: 10.1017/apr.2016.77
Publisher version: http://dx.doi.org/10.1017/apr.2016.77
Language: English
Keywords: Science & Technology, Physical Sciences, Statistics & Probability, Mathematics, State-space model, high dimensions, particle filter, MONTE-CARLO METHODS, SAMPLERS
UCL classification: UCL
UCL > Provost and Vice Provost Offices
UCL > Provost and Vice Provost Offices > UCL BEAMS
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences > Dept of Statistical Science
URI: https://discovery.ucl.ac.uk/id/eprint/1556083
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