Direct vs. indirect sequential Monte-Carlo filters
نویسندگان
چکیده
We address the recursive computation of the a posteriori filtering pdf p n|n in a Hidden Markov Chain (HMC). Classically pn|n is computed via the recursion p n−1|n−1 → pn|n−1 → pn|n. In this paper we explore direct, prediction-based (P-based) and smoothing-based (S-based) alternative loops for propagating p n|n. We next address sequential Monte Carlo (SMC) implementations of these filtering paths, and compare our algorithms via simulations.
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