An Improved Particle Filter for Non-linear Problems

@inproceedings{Carpenter2004AnIP,
title={An Improved Particle Filter for Non-linear Problems},
author={James Carpenter and Peter Clifford and Paul Fearnhead},
year={2004}
}

The Kalman filter provides an effective solution to the linear-Gaussian fil tering problem. However, where there is nonlinearity, either in the model specification or the obs rvation process, other methods are required. We consider methods known generically as particle filters, which include the condensation algorithm and the Bayesian bootstrap or sampling importan ce resampling (SIR) filter. These filters represent the posterior distribution of the state variab les by a system of particlesâ€¦Â CONTINUE READING