Path storage in the particle filter

  title={Path storage in the particle filter},
  author={Pierre E. Jacob and Lawrence M. Murray and Sylvain Rubenthaler},
  journal={Statistics and Computing},
This article considers the problem of storing the paths generated by a particle filter and more generally by a sequential Monte Carlo algorithm. It provides a theoretical result bounding the expected memory cost by T+CNlogN where T is the time horizon, N is the number of particles and C is a constant, as well as an efficient algorithm to realise this. The theoretical result and the algorithm are illustrated with numerical experiments. 
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