Titlebook: An Introduction to Sequential Monte Carlo; Nicolas Chopin,Omiros Papaspiliopoulos Textbook 2020 Springer Nature Switzerland AG 2020 Partic

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Particle Filtering, defines the recursive quantities we wish to approximate; on the other hand, importance sampling and resampling gives us the right tools to actually compute these approximations..In that spirit, we start this chapter by defining a completely generic particle filtering algorithm. Then we show that sp

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SMC2, Sequential Inference in State-Space Models,ave invariant the exact posterior distribution of the considered (state-space) model. Potentially, PMCMC algorithms suffer from the same limitations as all MCMC samplers: they do not offer an easy way to estimate marginal likelihoods; they are too expensive for sequential scenarios; and calibrating

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Textbook 2020 for the sequential analysis of data in such diverse fields as signal processing, epidemiology, machine learning, population ecology, quantitative finance, and robotics..The coverage is comprehensive, ranging from the underlying theory to computational implementation, methodology, and diverse applic