Nonlinear and Non-Gaussian State-Space Modeling with Monte-Carlo Simulations
We propose two nonlinear and nonnormal filters based on Monte Carlo simulation techniques. In terms of programming and computational requirements both filters are more tractable than other nonlinear filters that use numerical integration, Monte Carlo integration with importance sampling or Gibbs sam...
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| Main Authors: | , |
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
1998
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| 在線閱讀: | https://ink.library.smu.edu.sg/soe_research/272 |
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| 機構: | Singapore Management University |
| 語言: | English |