Corpus ID: 88513184

Twisting the Alive Particle Filter

@article{Persing2013TwistingTA,
  title={Twisting the Alive Particle Filter},
  author={A. Persing and A. Jasra},
  journal={arXiv: Methodology},
  year={2013}
}
  • A. Persing, A. Jasra
  • Published 2013
  • Mathematics
  • arXiv: Methodology
  • This work focuses on sampling from hidden Markov models (Cappe et al, 2005) whose observations have intractable density functions. We develop a new sequential Monte Carlo (Doucet et al, 2000 and Gordon et al, 1993) algorithm and a new particle marginal Metropolis-Hastings (Andrieu et al, 2010) algorithm for these purposes. We build from Jasra, et al (2013) and Whiteley, et al (2013) to construct the sequential Monte Carlo (SMC) algorithm (which we call the alive twisted particle filter). Like… CONTINUE READING

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